JESSICA FENG

*** **** **** ******, *** York, NY *0019

585-***-****

acdu39@r.postjobfree.com

CORE COMPETENCIES

• Specialties: Risk Management, Quantitative Analysis, Financial Modeling, Portfolio Management, Derivatives Pricing

• Programming Skills: Java, C, C++, MATLAB, SAS, VBA, SQL, Python, HTML, JavaScript, CSS, PHP

• Charted Financial Analyst (CFA): Level II Candidate

EDUCATION

FORDHAM UNIVERSITY, GRADUATE SCHOOL OF BUSINESS New York, NY

Master of Science, Quantitative Finance Dec. 2013

Relevant Coursework: Risk Management (Credit & Market), Portfolio Management, Advanced Financial Modeling, Large-Scale

Data Modeling, Derivatives, Fixed Income, Econometrics, Stochastic Calculus, Simulation, Financial Statement Analysis

UNIVERSITY OF ROCHESTER Rochester, NY

Bachelor of Arts, Computer Science & Financial Economics, Minor in Japanese May 2012

Dean’s List, Rochester International Scholarship, Vice President of RICE Dance Crew, Teaching Assistant of Computer Science

Department

EXPERIENCE

Quantitative Investment Strategies Mentorship Project AllianceBernstein

May 2013 – Nov. 2013 New York, NY

• Worked directly with Senior Vice President mentor to research trading strategies with promising risk-adjusted returns

• Strategy Selection: Filtered trading strategies based on 9 criteria including alpha, risk, evolution, etc.

• Strategy Implementation: Analyzed mutual fund holdings data, designed and simulated trading strategies based on per-unit

mutual fund concentration (PUMFC), generated an annualized return of 38.83% with a 1.28 Sharpe ratio

• Portfolio Optimization: Improved Sharpe ratio and consistency of cumulative profit through signal weighting, size

neutralization, and factor adjustment

Mergers and Acquisitions Intern Hong Yuan Securities

Dec. 2011 – Jan. 2012 Beijing, China

• Analyzed industries data, reviewed companies’ financial statements to ensure compliance with government regulations and

legal requirements

Equity Research Intern China Merchants Securities

June 2010 – Aug. 2010 Beijing, China

• Analyzed performance of listed companies in coal industry, composed weekly and monthly reports

PROJECTS

Risk Management: Calculated and Back-tested VaR for a synthetic indices portfolio using Matlab

• Volatility Models: GARCH, EWMA with CCC and DCC models

• Simulation Methods: Historical simulation (weighted & filtered), Monte-Carlo simulation

Portfolio Management: Optimized asset allocation using risk parity approach and simulation methods to meet client’s

benchmark

Option Pricing and Greeks Modeling with C++: Built an option pricing GUI calculator to compute American and European

options for equity, currency, and futures using binomial pricing model and Black-Scholes Model

Portfolio Optimization with VBA: Optimized efficient portfolio using CAPM and Black-Litterman Model

FOREX Trading System: Developed an automated trading system using MLQ4 that generated a 1.8 P&L ratio

ADDITIONAL

• Computer Software: MS Office Excel, Access, PowerPoint, Word, Bloomberg, DataStream, Photoshop, Flash

• Languages: Native Chinese, Fluent English, Intermediate Japanese, Basic Korean

• Interests: Painting, Dancing

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