Biwei Chen

*** * ******* **., *******, IL ***** * Kimball Ct., Woburn, MA 01801

Email: acssmq@r.postjobfree.com Cellphone: 312-***-****

SKILLS

Finance: Credit derivatives and Fixed-income derivatives modeling and pricing, Model Validation process, Stress Testing (Dodd-Frank Act, Basel II/III and CCAR) model, Econometric Modeling (Monte Carlo simulation, regression analysis, time-series modeling, and cross-sectional models)

Computer: Microsoft office, SAS, Matlab, Python, C#/C++, VBA, SQL, Adobe software products

EDUCATION

MS in Mathematical Finance, 2014 Chicago, IL

Stuart School of Business, Illinois Institute of Technology

BS in Mathematical Economics, 2012 Beijing, China

China Economics and Management Academy, Central University of Finance and Economics

PROFESSIOAL EXPERIENCE

Business Analyst, Paolini & Haley, P.C., Boston, MA Aug. 2015- Present

Building models to evaluate the pricing for each client according to different risk factors such as currency exchange rate, insurance, macroeconomic conditions and changing political landscapes;

Managing client information database that increased the efficiency by 20%.

Communicating with clients about our projects, finding best solutions according to their particular situations. Have built Long-term relationships with 10 clients so far.

Quantitative Analyst, Citizens Bank, Boston, MA Jun., 2014 - Jul., 2015

Developed and maintained PD/LGD/EAD Models for Retail Portfolio (Home Equity, Mortgage, Cash Reserves and Small Business) and provided the data analysis support for stress testing and CCAR purposes, as well as maintenance and recalibration of existing Basel models. The major methodologies include Linear Regression, Decision Tree and Logistics Regression;

Participated in developing a HELOC payment shock model with the retail stress testing team, using multinomial logistic regression, which successfully predicted losses with an accuracy of 3%;

Responsible for monitoring the quarterly performance of Retail Models and conducting trend analysis for non-material portfolio;

Enhanced the prepayment modules for Home Equity and Mortgage Models by constructing Competing Hazard Model and Roll Rate Model for CCAR purpose.

Junior Quant Intern, CME Group Inc., Chicago, IL Sep., 2013 - May, 2014

Participated in margin and liquidity model development, which significantly improve the coverage for Credit Default Swap portfolios in back testing;

Responsible for database maintenance and data quality improving. Designed and programmed store procedures in SQL for data cleaning and import, which prevented human error in database by automating the process and increased the efficiency;

Participated in design series of stored procedures in SQL server, which could dynamically perform time series analysis such EWMA, GARCH (1, 1) on database table. The stored procedure ensured the data quality for the relatively unreliable dataset and stabled the performance of the CDS model.

Quantitative Analyst, Beijing Lerui Asset Management Co. Ltd., Beijing, China May, 2013 - Aug., 2013

Evaluated fixed income derivatives and credit risk derivatives using Monte Carlo simulation with special types of sampling, bootstrapping and binomial tree method;

Predicted credit loss forecasting and interest rate movements, using time series, credit risk or interest rate models. Estimated and analyzed the model parameters using Python, VBA or Matlab;

Communicated with individual investors to understand their investment preferences and risk preferences. Made presentations to show the investors about our PE funds performance in financial market and gave suggestions to the clients or potential clients. Brought 7 new clients in 3 months.

Risk Analyst, Bank of China (BOC), Beijing, China Jan., 2012 - Aug., 2012

Analyzed the daily foreign exchange market based on daily market data and forecasted the foreign exchange market trend using SQL and statistical tool Stata;

Worked with Bank of China internal model validation team to complete the required model testing, validation and improvement;

Participated in the meeting with one of our corporate-level clients, took the responsibility to introduce our new products and investment forecasting. Obtained millions (Chinese yuan) investment from this client;

Participated in Training Seminars as a speaker to show other staffs about new corporate-level foreign exchange products.

COMPETITION PROJECT

The Chicago Quantitative Alliance (CQA) 2nd Annual Investment Challenge Nov., 2013 - Apr., 2014

Combined Magic Formula, Piotroski and Mohanram’s Screen to form a long-short portfolio for 5 month.

Performed several risk management techniques and portfolio management techniques (such as VaR, CAPM methodology and Beta neutral, money neutral) that made our portfolio rank in Top 3 for 2 months.

Made presentation with team members to show our investment strategy and portfolio performance.

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