Management Engineering

EUNJO (CHLOE) KIM

*** **** ******, ***. ** 646-***-****

Union City, NJ 07087 ********@*****.***

EDUCATION

CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS New York, NY Master of Science in Computational Finance GRE Quant: 800/800 12/13

Financial Optimization, Time Series, Macroeconomics, Machine Learning, Statistical Arbitrage, Finance

Memberships: Quantitative Finance Club, Graduate Finance Association, Asian Business Association KOREA ADVANCED INSTITUTE OF SCIENCE AND TECHNOLOGY Daejeon, Korea Master of Science in Computer Science Engineering GPA: 3.81/4.0 02/08

Concentration: Sensor Network Routing Algorithm

Honor and Membership: Dean’s List, Women in Science Mentoring Program (WISE) EWHA WOMANS UNIVERSITY Seoul, Korea

Bachelor of Science in Electrical Engineering GPA: 3.53/4.0 02/06

Leadership: Student council leader of electronic engineering department

Honor: Dean’s List, Recipient of EWHA Volunteers scholarship EXPERIENCE

CitiMortgage, Inc. – Capital Market New York, NY

Portfolio Management and Pricing Group 02/14 – Current

Portfolio Management: Assist portfolio managers to implement $100Bil asset and liability management strategies and monitor the portfolio positions, risk/return by conducting risk analytics with a special focus on the residential whole loan mortgages; Collaborate with Quant group to develop and design portfolio management tools.

Mortgage Pricing: Develop analytic tools to optimize front-end pricing from a risk-return perspective; Analyze loan level/tranche level/pool level data with SAS, SQL and perform risk analysis through YieldBook; Collaborate with treasury, finance and risk teams in transfer pricing, asset sale, and portfolio move processes.

Risk Analytics: Perform scenario analysis and cash flow analysis to assess the impact of the econometric variable changes on the portfolio return; Analyze the econometric variable impact on the agency mortgage CPR for a new origination model. Analyze credit risk profiles of mortgage loans such as Prime, Alt-A, Non-Prime including HELOC and FRHEL.

Model Validation: Involved in the mortgage pricing and valuation system migration to Yieldbook; Assist in verifying model performance, correct implementation; Conduct back-testing on the prepayment models on a monthly basis. STANDARD & POOR’S New York, NY

Summer Associate in Quantitative Analytics Research Group 05/13 – 08/13

Financial Modeling: Built econometric models for credit card charge-off rates reported in S&P CCQI index and predicted monthly charge-off rates based on S&P economic forecasts of pessimistic and optimistic scenarios.

Analytics: Researched how credit card charge-off rates respond to changes in macroeconomic variables; devised and implemented algorithms which improved the predictive power of the model in MATLAB.

Back-Testing: Conducted rolling calibrations on the econometric models to provide accurate forecasts on the financial variables; evaluated in-sample/out-of-sample forecasts accuracy using simulations and assessed the accuracy of estimated parameters.

NOMURA FINANCIAL INVESTMENT CO., LTD. Seoul, Korea Equity Derivatives Trading System Analyst 05/10 – 06/12

Trading Support: Worked closely with traders to develop analytical tools for issuing and uploading new warrants to the internal system; provided supports on risk reporting and trade process related problems.

Product Knowledge: Managed trading books and reconciled wide spectrum of trades including futures, options, swap, Equity Linked Warrants, and structured products across the different books.

Data Analysis: Maintained database of trades, instruments, and account information using SQL; resolved a problem arising from the creation of new instruments in the booking system by adjusting system configurations. MACQUARIE SECURITIES LIMITED Seoul, Korea

Equity IT Analyst 01/08 – 05/10

Risk Management: Monitored trading liquidity level and regulation breaches in equity warrant desk; provided support on intra-day and end-of-day risk reports.

ADDITIONAL INFORMATION

Financial Risk Manager (FRM), CFA Level2 candidate in 2016

Programming / Software: SAS, SQL, Excel/VBA, C/C++, MATLAB, R, Bloomberg, CitiGroup YieldBook

Interests: Snowboarding, Jazz dancing, Traveling, Habitat (Non-profit organization)

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