Quantitative Analyst, risk management, financial modeling

Zheyu Zhang www.linkedin.com/in/zheyuzhang/

** ********* ******* ******, ***** 617-***-**** ******@**.*** SUMMARY Mathematical Finance graduate student with a passion for quantitative analysis and strong financial modeling and experience designing market making strategies seeking a full time role looking to bring a detail-oriented, diligent work ethic to become a valued member within a financial firm. EDUCATION Boston University M.S. Mathematical Finance Jan 2016 Coursework: Credit Risk, Risk Management, Portfolio Theory, Advanced Derivatives, Probability and Statistics, Fundamentals of Finance, Computer Programming, Computational Finance, Stochastic Calculus, Fixed-Income Securities, Stochastic Optimal Control

Shanghai University of Finance and Economics B.S. Electronic Business/B.S. Economics 2014 Double Major: Financial Statistics & E-Commerce

Meritorious Winner of MCM (Mathematical Contest in Modeling)

Actuarial Exam P – Probability

CFA Level-2 candidate

FRM Level-2 candidate

Competent Communicator for Toastmaster International EXPERIENCE Financial Algorithm Analyst, Skyboxrole, New York, NY (Internship) Jun-Aug 2015

Compared the performance of sports players to tradable stock then built the “sports player” stock market.

Found a comprehensive value based on statistics evaluating each player which could then be translated to the player’s fundamental stock value.

Did academy research in stock market simulation and wrote software requirements for the project.

Created “intelligence agents” which combined fundamental analysis, technical analysis and the ability to make limit/market orders to simulate stock price.

Tested the demo using R and found that higher weight on fundamental analysis led to a more effective market as one would expect.

Equity Portfolio Risk Analysis Project, Boston University 2015

Measured the risk contribution and degree of diversification for the portfolios leveraging Euler decomposition method; found equity with lowest correlation realized largest diversification effect.

Implemented probabilistic stress testing and scenario analysis on equity portfolios; found conditional mean of portfolio return accounted more for increase in conditional VaR (value-at-risk). Credit Risk Analyst, Shanghai Pudong Development Bank, Int’l Accounting (Internship) Jun-Aug 2013

Developed and maintained sound and well-performed Bank Credit Models using quantitative and qualitative methodologies, increased in-sample performance by 25.6% as opposed to the old prime model.

Conducted all kinds of data cleaning and management processes for building a systematically unbiased prediction model.

Validated the model by using in-sample, out-sample, stability tests and sensitivity tests. European Option Pricing Project (R), Boston University 2015

Implemented explicit finite difference method and Crank-Nicolson method to price options, including approximating the Greeks and comparing computational efficiency of each method.

Approximated the option price via the Black-Scholes Model, combining the Fourier inversion, the Fast Fourier Transform and the rectangular quadrature rule to achieve a bounded root-mean-square error (RMSE).

Found Crank-Nicolson method to be most computationally efficient in a common. Statistics Analyst, China Development Bank, O & M Dept. (Internship) Jan-Feb 2013

Wrote stored procedure to calculate financial ratios like NI/EBT, EBT/EBIT, NI/SALE for the purpose of checking qualification of corporate borrowers.

Used dynamic SQL to realize the automation of multi-condition query and calculated Statistics leveraging excel.

Shared responsibility of financial statistical system, the bank’s balance sheets, loan statistic tables by industry and loan statistical table for large, medium and small businesses and made the weekly report. SKILLS R, Matlab, C++, Python, VBA, SAS, relational database, Derivative Pricing, Black Scholes, Monte Carlo Simulation, Regression Analysis, Fama-French, VaR, PDEs, Quantitative Analysis, Statistical and Financial Modeling, Option Pricing, Java, SSIS, SSRS, SQL, T-SQL, XML, ETL automation INTERESTS Hiking, History, Photography, Cooking, Toastmasters

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