FANGFANG(SARAH) CHEN

acxggd@r.postjobfree.com

+1 (484) 929 - 3036

8N 104-60 Queens Blvd, Forest Hills, NY 11375, US

-EDUCATION

LEHIGH UNIVERSITY, BETHLEHEM, PA, US

****-****

M.S. in Financial Mathematics, GPA: 3.7/4.0

• Courses: Investment, Econometrics, Fixed income, Derivatives, Risk Management, Random Process, Financial Calculus, Optimization, Financial Engineering

SUN YAT-SEN UNIVERSITY, GUANGZHOU, CHINA

2010-2014

B.S. in Accounting, GPA: 3.5/4.0

-PROFESSIONAL SKIILS/OTHER

• Certification: FRM Part II Candidate, CFA Level II Candidate, Bloomberg Essentials Certification

• Programming languages and IT skills: Python (numpy, matplotlib), SQL, SAS, MS Office, STATA

-PROFESSIONAL EXPERIENCE

Intern, Controller’s Office, City of Allentown, Allentown, PA, US

06/15-08/15

• Organized and facilitated meetings with administration to design a flow chart diagram and revenue process flows using MS Visio

• Developed an audit program and conducted the testing to insure proper internal controls

• Prepared an audit report of the internal control weaknesses and recommendations for remediation, and the administration adopted the recommendation and improved the process flows

Intern, Corporate Banking Division, Industrial and Commercial Bank of China, Guangzhou

03/14-04/14

• Assisted senior manager to process the issuance of L/C and Import Bill Advance with amount of over $1 million

• Evaluated business loans to ensure compliance with covenants and qualifications, including the research, verification, and analysis of due diligence materials and third party reports

• Conducted credit analysis for existing clients through ratio analysis after loans were processed

-RESEARCH EXPERIENCE

‘Agency and Asset Pricing’, Financial Engineering, Lehigh University

02/16-05/16

• Performed multiple regression analysis to estimate coefficients in agent-based CAPM using STATA

• Back-tested agency effect and model robustness during financial crisis period

‘Calibration & Option Pricing (Modified Vasicek Model)’, Financial Calculus, Lehigh University

05/16

• Calibrated modified Vasicek Model using Polynomial Curve Fitting

• Priced Pure Discount Bond Option using bond option pricing formula

• Priced interest rate option using Black-76 Model

‘Jump-Diffusion Model’, Derivatives and Risk Management, Lehigh University

12/15

• Utilized Merton Jump-Diffusion Model to simulate stock evolution and priced option using Python

• Compared option prices between Jump-Diffusion Model and Black-Scholes-Merton Model and visualized the results

‘Portfolio Optimization’, Financial Optimization, Lehigh University

04/15-05/15

• Constructed portfolio based on stocks of Shanghai Stock Exchange 180 Index and utilized mean imputation on missing returns

• Performed portfolio optimization regarding Markowitz mean-variance model, Black-Litterman model, Konno-Yamazaki model using MATLAB and AMPL(SolverStudio)

-LEADERSHIP EXPERIENCE

Officer, Toastmasters Club of Lehigh University

04/15-04/16

• Successfully planned and organized Club Humorous Speech and Table Topic Speech Contests

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