Management Risk

Zhang Zhen, PhD

+** **** **** *********@********.***

**-** *******, ** *** Chiat Lane, Singapore 428099

EXPERIENCE

Castleton Commodities International Singapore

Risk Manager - Quantitative Model and Systematic Trading February 2014 - Present

• Improve and develop the physical commodity models (Natural Gas Storage Model, Naphtha Quantity

Optimization Option, Propane Chooser Options)

• Conduct quantitative market research on oil market (Light Ends, Aromatics) and apply systematic trading

strategies for hedging or trading purpose (PCA, SVM, etc).

• Build risk analytics libraries, perform daily risk exposure calculations on the strategies, desks, and merchant.

MUREX SOUTHEAST ASIA Singapore

Financial Engineer - FX Derivatives July 2012 - February 2014

• Perform independent model validations on the FX derivatives products and the pricing models (Skew Model,

SABR, VolX, DetVol PDE, LocVol, StocVol) in the Murex solution

• Contact point of model validation issues on FX derivatives desk of Murex for clients and third parties

• Identify the deficiency and improve the implementation of product payoff (TARN) and pricing models (Call

Spread Replication)

• Work with Asian banks to implement their proprietor pricing models and payoffs in the framework of MX2000

• Conduct BAU to assist clients on all front office and risk management issues related to foreign exchange options

INSTITUTE OF HIGH PERFORMANCE COMPUTING (IHPC), A*STAR Singapore

Scientist I March 2011 - June 2012

• Apply computational methodologies (First-Principles quantum mechanics) to large-scale scientific simulations

• Initiate, implement, and take lead in academic and industrial projects

EDUCATION

THE UNIVERSITY OF CHICAGO Singapore

Master of Science in Financial Mathematics June 2012

• GPA: 4.0/4.0 - Mathematical Foundations of Option Pricing, Statistical Risk Management, Portfolio

Theory/Risk Management, Advanced Options, Credit Risk Management, Regression Analysis & Quantitative

Trading Strategies, Stochastic Calculus, Fixed Income Derivatives, Numerical Methods, Economics, Foreign

Exchange

• Industrial Projects:

- Effectiveness of hedging methodologies (sticky-delta/sticky-strike) in the stochastic volatility model (ING)

- Temporal Evolution of Financial Market Correlations (MSCI)

NATIONAL UNIVERSITY OF SINGAPORE Singapore

Doctor of Philosophy in Computational Physics June 2009

• Research Area: Quantum Mechanical Calculations on Functional Materials using Parallel Computing

• Awards: 2004 - 2008 National University Scholarship, 2006 Andrew Fraser Best Research Paper Finalist

• Publications: Published 8 research papers in international scientific peer-reviewed journals

FUDAN UNIVERSITY Shanghai

Bachelor of Science in Materials Physics June 2004

• Outstanding Student Awards (2002 & 2003)

ADDITIONAL INFORMATION, SKILLS AND ACHIEVEMENTS

• Mentorship:

- Teaching assistant of University of Chicago Financial Mathematics program (2012 - present)

• Programming Languages: MATLAB (5/5), JAVA(4/5), C++(4/5), LATEX(4/5)

• Citizenship: Singaporean

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