Manager Management

ZHUOJUN (JESSICA) CAI

*** *. **** **., *** York, NY 10023 347-***-**** *****@*******.***

Education

****-**** ******* **********, ******** School of Business Administration New York, NY

MS, in Quantitative Finance GPA: 3.95/4.00

Basic of Derivatives, Risk Management, Econometrics, Stochastic Calculus, Fixed Income

Securities, Financial Modeling (VBA), Simulation Applications(MATLAB), C++ for Finance

Honors & Awards:

Fordham Business School Merit based Scholarship in 2015 (top 5%)

Graduate Assistant for Quantitative Finance Program in Fordham University

2009-2013 Nankai University, School of Mathematical Sciences Tianjin, China

BS, in Applied Mathematics

ODE, PDE, Advanced Algebra, Calculus, Complex Analysis, Real Analysis, Stochastic Process,

Statistics, Regression Analysis, Operations Research, Actuarial Science, C++ Programming

Honors & Awards:

NKU Scholarship for Excellent Performance in Mathematical Modeling (top 10%)

Honorable Mention in International Mathematical Contest of Modeling (MCM) in 2013 (top 20%)

Second Award in National Undergraduate Mathematical Contest of Modeling in 2012 (top 5%)

Third Award in Campus Mathematical Contest in Modeling in 2012 (top10%)

Experience

Jan-Jul, 2014 Industrial and Commercial Bank of China (ICBC) Kunming, China

Risk Management Department, Intern

Created a VBA Userform that helps the manager quickly calculate the regulatory risk capital and

risk-adjusted return on capital (RAROC) of enterprise loans.

Developed an individual credit rating model using determinant analysis (LDA) and presented

research of the opportunity and challenge in P2P lending market to peers.

Modified the scoring function of risk management performance to build a more accurate system

that was adopted by 24 local bank branches in their monthly self-assessment reports.

Sep-Dec, 2013 China Great Wall Asset Management Corporation Kunming, China

Industry research team, Intern

Constructed a multiple factor model to analyze and evaluate the comprehensive strength of

paper companies in China.

Identified the top 20 most promising paper companies based on principal component analysis

(PCA) and delivered an industry report for potential investment.

Projects

2014-Present Financial Modeling (VBA) & Simulation (MATLAB) New York, NY

Derivative Pricing: Created a calculator which computes the price for 10+ types of vanilla and

exotic options and the Greeks via Monte-Carlo simulation; Simulated the stock price and

derived the option pricing equation based on Jump-Diffusion Model with both finite and infinite

jump sates.

Trading Strategy: Built a tool that selects stocks and evaluates the profitability for MACDH and

pair trading strategy; Conducted dynamic relative strength strategies based on different forming

and holding periods and analyzed the source of excess returns to test the market efficiency.

Additional

Computer Skills: Experienced with VBA, C++, MATLAB, SAS, SPSS, Python and SQL;

Bloomberg certified in Commodity, Equities, Fixed Income, and FX

Activities: Senior Coach & Captain of Campus Debate Team, “Best Debater” Honor in 7 th and

8th Campus Debate Contests, Editor & Journalist of NKU Journal Agency

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