Management Risk
Resume:
Resume
Dr. YIYU (KELLY) LIN
DALLAS TX75248
U.S.A
TEL: 972-***-****
****@***.***
U.S CITIZEN
STATISTICS ● ECONOMETRICS ● FORECASTING ● RISK MANAGEMENT
MILTI-VARIATE TIME SERIES ANALYSIS ● ENERGY TRADING MODELING QANTITATIVE ANALYSIS ● FINANCIAL ECONOMICS ● MICROECONOMICS MACROECONOMICS ● GAME THEORY ● INTERNATIONAL MONEY AND FINANCE
Commodity trading with the ability to monitor market activities and modify and prepare new forecasts during the trading day to advise energy traders of changes in demand and provide input into the decision making process. Can create estimation procedures for model parameters and determine statistical significance of results.
EXPERIENCE
June 2013- Present
Assistant Vice President in Enterprise Risk management of Comerica Bank
Achievement:
• Develop multivariate time series models (VECM, ECM and ARIMA) for risk management and enhance the existing econometric models.
• Develop and present quantitative insight to multiple product teams.
• Perform rigorous assessment of data quality and assumptions relevance, and appropriate documentation especially where management judgment is used
• Responsible for reporting model development, documentation, and implementation
• Assisting model validation team in the assessment and mitigation of model risk
• Responsible for stress test for enterprise risk management
Jan. 2009 – August 2012
Claremont Graduate University, Claremont, CA. Doctoral Research, Perform advanced research in financial economics, international money and finance, risk management
Achievement:
• Successfully apply multivariate time series econometrics in Macroeconomics, and international money and finance to explain the economic activities efficiently. This insures the well specified model would lead the economic activities approaching to equilibrium.
• Forecasting GDP growth of China, GDP growth of China in 2012 is 7.8% and GDP growth of China in 2013 is 8.17%.These results capture the true effects of the economy.
• Focusing on the research of Pan Asia economy research
Jul. 2005 - Jan. 2009
Southern California Edison (SCE), Rosemead, CA. Power System Planner (Econometrician)
• Developed an advanced model with Dr. Allan Timmermann (University of California at San Diego) for energy trading. SCE claimed the success of the model in 2007. Dr. Allan Timmermann delivered a speech on Wall Street regarding the model results in 2008.
• Achieved target performance rating for quantitative analysis function
• Developed a dynamic nonlinear error correction model (EC model) for daily energy trading; the results of hourly mean average percent error (MAPE) of the whole year was around 2%; the best daily forecast during summer is 0.4% (MAPE).
• Created an econometric model for energy trading. Resolved the mis-specified econometric models SCE had faced for over forecasting and under forecasting.
• Generated a time series model for dynamic regression while using a sophisticated approach based on the most recent theoretical advanced econometric research.
• At least five years experience in quantitative market/business analysis
• Demonstrated ability to conduct econometric analysis of time series data and conduct analysis of large data sets
• Excellent oral, written, interpersonal and organizational skills and effectively communicating complicated issues and analysis to non-technical audiences
• Experience in the demand response business or evaluating demand response programs and strategies
• Participated in decision making meetings for daily energy trading and provided findings to executive management.
• Managed large amounts of information including weather data, utility usage data and other relevant explanatory variables to improve models.
Achievement:
• Successfully manage high frequency data and large data set for better financial model specification
• Successfully obtain better forecast results of energy and financial modeling for decision making and risk management ; the results of hourly mean average percent error (MAPE) of the whole year was around 2%; the best daily forecast during summer is 0.4% (MAPE).
• Successfully apply structural break analysis to overcome nonlinear problem; it is important for financial modeling
• Southern California Edison Claimed success of the research in 2007; Dr. Allan Timmermann was invited to Wall Street to give the lecture about the research in 2008
Jan. 2000 - January 2004
Texas A & M, College Station, TX, Graduate Research
• Performed advanced research in financial economics, international money and finance, as well as risk management
Achievement:
• Successfully apply Chow’s dummy variable approach in multivariate time series to identify the transitional dynamics of econometric modeling
• Successfully identify and resolve the misspecification problems of econometric modeling for precise explanation of economic activities
• Successfully develop the methodology to identify the break point of multivariate time series model
Other Employment History
1996 - 1999
At least three years international trade business experience with Augment Co., Ltd,, Taiwan to handle business with General Mills
EDUCATION
PhD in Economics (Start: Fall 2009, Graduation: 2012);
CLAREMONT GRADUATE UNIVERSITY, Claremont, CA
Dissertation: The effectiveness of implementing sterilization for Thailand, Indonesia, the Republic of Korea and Malaysia after the Asian financial crisis.
Finish PhD degree in May 2012
Obtain the highest grade in the Micro-qualified exam (97 from 100)
Obtain High Pass in the Macro-Qualified exam
Completed PhD Courses in Agricultural Economics (2000-2004)
TEXAS A & M, College Station, TX
Notable achievement: Modified Nobel Prize winner Dr. Granger’s error correction model for better forecasting
Masters in Applied Economics, 1999
SOUTHERN METHODIST UNIVERSITY, Dallas, TX
SPECIAL SKILLS
Proficient in E-views, Matlab, Stata, Spss, S-plus, SAS, Excel, Microsoftwords
Fluent in English, Taiwanese and Mandarin.
Strong Mathematic, Statistic and Econometric background
Strong Econometric Experience
References:
Dr. Allan Timmermann (UCSD) ********@****.*** (O) 858-***-****
Dr. Art Denzau (CGU) ***.******@***.***
Thomas Borcherding (CGU) ******.***********@***.*** (O) 909-***-****
Thomas B. Fomby (SMU) ******@***.*** (O)214- 768-3577
Charles Cunningham 713-***-**** *****************@***********.*** Key Account power consultant at Center Point Energy
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