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Computer Science Financial

New York, New York, United States
October 14, 2016

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Lingchao (Michael) Zuo

Little Neck, NY, ***** (516) ***-****


National Grid USA Hicksville, NY

Senior Analyst, Quantitative Risk & Financial Reporting May 2016 ~ Present

Partner with traders to develop quantitative models, such as Jump Probability Estimation, and Mean Reverting Rate.

Develop and report quantitative risk metrics, such as Probability Distribution of Gas and Power Cost, Value at Risk, Potential Future Exposure and Potential Future Credit Exposure using Lacima Analytics and Excel.

Responsible for Quarter End evaluation of financial and physical derivatives with a notional of $2B, and manage reporting framework for exposure and disclosure reports under US GAAP and IFRS.

Develop valuation models for various structured contracts and derivative positions, including Physical Gas Options, Asset Management Agreement, LNG, Storage, Long Term Power Contracts.

Monitor energy hedging and procurement strategies to identify and report risk exposures, and review and improve the controls to ensure compliance with the business objectives and to the internal risk policies.

Analyst, Quantitative Risk & Financial Reporting Jun 2014 ~ May 2016

Developed models to simulate spot and forward markets prices using Lacima Risk Analytics.

Developed stress test and sensitivity analysis on financial positions, gas and power cost for credit and collateral management by using Lacima Risk Analytics, VBA, and Excel.

Developed Power Forward Curves for NYISO Zone A through Zone G OnPeak and OffPeak and Natural Gas Basis Curves by Interpolation, Correlation Matrix and Regression.

Evaluated structured AMA natural gas deals, pricing elements such as embedded physical options, base-load gas supply, asset of pipeline capacity, currency exchange gain/loss, and other cash inflow or outflow.

Evaluated Vanilla Option by Black-Scholes Model, Physical Option Strip by Three-Dimensional Tree, and Asian Option by Turnbull-Wakeman Model.

Associate Analyst, Quantitative Risk & Financial Reporting Aug 2012 ~ Jun 2014

Issued and presented Weekly Risk Report, including market and credit exposures on energy portfolio, Earnings at Risk, Counterparty Exposure, and execution limits on energy procurement strategies.

Designed and automated metrics such as Option Monitor, Monthly Historical Volatility, Seasonal Correlation Matrix and Optimization Monitor by using Excel and Pivotal Table.

Developed ad-hoc SQL queries (nested Subqueries) to retrieve data from Oracle Database by using advanced SQL Value Expressions, Relational Operators, and various types of Clauses.

Developed Excel Macros to create interfaces between Excel and Oracle Database through Oracle Objects for OLE & ADO Object, and between Excel and ZEMA Database through HTTP Call.

Intern, Quantitative Risk & Financial Reporting Oct 2011 ~ Aug 2012

Performed confirmation on Physical Energy Transactions and report Indices Report to Platts.

Performed confirmation on OTC Energy Derivatives (Including Options, Swaps and Futures), developed evaluation models and produced monthly MTM reports and settlement reports.

Nuworld Investment & Development Company Shenzhen, China

Associate, Investment Banking July 2007 ~ July 2010

Led team and advised 15 companies to implement M&As & IPOs from various industries, responsible for due diligence, acquisition report, preliminary registration analytical reports, book-building and investors’ relationship, and designed financial models and company valuations.


New York University, The Courant Institute of Mathematical Sciences Jan 2016 (E)

Non-Degree – Mathematics in Finance (Part-Time)

Queens College, Department of Mathematics Sep 2014 ~ Dec 2016 (E)

Master of Arts in Mathematics (Part-Time) GPA: 3.76/4.0

Courses: Stochastic Process, Statistical Inference, Algebraic Structure, Probability, Econometrics, Differential Geometry

Operations Research, Functions of Complex Variables, Elliptic Curves, Point Set Topology

Nassau Community College, Learning Tree International Jan 2014 ~ Aug 2014

Non-Degree – Mathematics & Computer Science (Part-Time) GPA: 4.0/4.0

Courses: Multivariable Calculus, Differential Equations, Linear Algebra, Discrete Math Structures, C# Programming

Hofstra University, Frank G. Zarb School of Business Sep 2010 ~ Aug 2012

Master of Science in Finance GPA: 3.94/4.0

Huaqiao University Sep 2003 ~ Jul 2007

Bachelor of Business in Marketing GPA: 90/100, Rank: 3/97


Machine Learning by Stanford University on Coursera, earned on September 7, 2016

Bloomberg Essential Training in Commodities, Equity, Fixed Income, and FX

Chinese series exams in Sales and Trading, Underwriting, Investment Analysis, Mutual Funds & Future Analysis


Software: VBA(Advanced), Excel(Advanced), PL/SQL(Advanced), C#(Intermediate), Matlab(Intermediate),

Bloomberg Terminal(Intermediate)

Energy Software: Lacima(Advanced), Allegro(Advanced), ZEMA(Advanced)

Language: Mandarin(Native), English(Fluent)

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