Manager Management

Rui Xie Cell: 443-***-****

** ** **** ***, *** York, NY 11373 Email: *****@***.***

Education

Baltimore, Dec.2014

Johns Hopkins University

MD

Master of Science in Financial Mathematics (3.60/4)

• Relevant Courses: Risk Management, Data Analysis, Time Series Analysis, Monte Carlo Simulation,

Financial Derivatives, Financial Structured Products, Stochastic Calculus for Finance.

University of Warwick Warwick, UK Jun.2013

Bachelor of Science in Mathematics and Statistics

• Relevant Courses: Mathematical Programming, Finance and Financial Reporting, Corporate Finance,

Derivatives and Financial Risk Management.

Academic Projects

Portfolio VaR Estimation (MATLAB,R) Baltimore, Oct.2014

Dec.2014

MD

• Applied various methods to calculate 1 day VaR of a portfolio consisting of daily returns of S&P 500, Dow

Jones, FTSE100, CAC 40 and Nikkei 225 from Jan, 2005 to Dec 2014.

• Volatility Model: Fitted a GARCH(1,1) to model volatility of the portfolio and calculated 1 day 99% VaR

based on estimated volatility.

• Extreme Value Theory: Applied MLE method to estimate the parameters of Pareto distribution based on the

historical loss of the portfolio. Calculated 1 day 99% VaR based on the fitted distribution.

• Monte Carlo Simulation: Simulated 100000 daily price change vectors with multivariate normal

distribution and built distribution of daily value change of portfolio to calculate 1 day 99% VaR.

• Used historical data to backtest estimated VaRs.

Baltimore, Mar.2014

Asset Backed Security Modeling (Excel, VBA)

May.2014

MD

• Measured cash flow performance of an asset backed security under various default and prepayment rates

in Excel. Applied excess spread, reserve account to enhance creditability.

• Performed scenario analysis and generated report for each scenario. Automated the process with VBA.

Baltimore,MD Oct.2014

Default Probability Application of BSM Model (Excel)

Dec.2014

• Determined the implied asset value and asset volatility of 50 public trading companies by applying Black

Sholes Merton Options Pricing Model and Ito’s Lemma.

• Calculated the one year default probabilities through Options Pricing Model.

Relevant Experience

Finance Intern

New York Feb.2015 Present

PYT Funds.Inc

• Work in a financial technology startup to build student loan portfolio cash flow model and perform

scenario analysis.

• Participate in conferences with clients to discuss partnership opportunities.

Research Assistant

Baltimore, Jun.2014

JHU Institute for Applied Economics

Dec.2014

MD

• Analyzed financial reports, proxy statements, company history to assess investment opportunity.

• Valuated company stock using Discounted Cash Flow (DCF ) model and Monte Carlo simulations.

• Compiled a research report every two weeks. Report included Industry Overview, Management

Compensation Structure, Financial Ratio Analysis and Competitive Analysis.

Skills

• Technical Skills: R (3 years), MATLAB (2 years), MS Office (5 years), VBA, SQL, Bloomberg.

• Language: English, Mandarin, Cantonese.

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