Yicen Cai

+1-332-***-**** ad14lm@r.postjobfree.com

EDUCATION

COLUMBIA UNIVERSITY IN THE CITY OF NEW YORK New York, USA Master of Science in Enterprise Risk Management 08/2022-12/2023 Cumulative GPA: 4.0/4.0

Relevant Coursework: Financial Risk Management, Model and Trade Derivatives, Credit Risk Analytics, Quantitative Risk Management NEW YORK UNIVERSITY SHANGHAI Shanghai, China

Bachelor of Science in Business and Finance, Minor in Mathematics 08/2018-05/2022 Cumulative GPA: 3.59/4.0 Major GPA: 3.65/4.0 Minor GPA: 4.0/4.0 Relevant Coursework: Calculus I-III, Probability and Statistics, Linear Algebra, Equity Valuation, Futures and Options, Business Analytics WORK EXPERIENCE

CITI New York, USA

Quantitative Risk Management Summer Analyst – Rates Quant Model Validation 06/2023-08/2023

● Optimized Inflation Model revalidation test framework by implementing and upgrading 3 tests with Python: SARIMA model parameter sensitivity test, model assumption residual test and ARIMA benchmarking test, and analyzed test results with 15 visualizations

● Conducted model risk assessment, model eligibility assessment, model performance validation, limitation identification, impact analysis and drafted model validation report based on SR 11-7

● Supported Citi model risk function by completing Inflation Model revalidation workflow and shortening validation time window by BANK OF EAST ASIA Shanghai, China

Technology Risk Management Intern 07/2020-09/2020

● Developed a training program for 32 outsourcers, focusing on technology risk policies and procedures, supporting the production of risk governance oversight routines specific to technology and cybersecurity programs

● Bolstered firm risk controls by spearheading a phishing email simulation for over 2000 employees, leveraging Excel and Python to uncover and mitigate 8 critical information security vulnerabilities

● Evaluated information security for 10 partner firms, uncovering 3 data protection gaps, reinforcing cyber risk oversight, and providing actionable recommendations

DELOITTE Shanghai, China

Risk Advisory Intern 06/2019-08/2019

● Enhanced technology risk controls aligning with ISO 27001 standards, produced 6 Visio flowcharts and information security roadmaps based upon client's risk exposure

● Performed internal security assessments of client's compliance with ISO 27001, improving security system across over 20 departments

● Strengthened client information security through a framework of processes, procedures and policies to manage security incidents and events, doing drills and spot checks, culminating in client’s successful acquisition of ISO 27001 certification PROJECTS

ASSET MANAGEMENT PROJECT – FACTOR MODEL New York, USA Graduate Researcher 09/2023-10/2023

● Utilized the Fama-French Three-Factor Model in a linear regression framework to estimate the beta coefficients for Berkshire Hathaway

● Conducted comprehensive data collection and preprocessing using Excel and Python, and employed R for running linear regression

● Simulated the price process based on returns and estimated parameters and compared it to the actual price process for Berkshire Hathaway

● Interpreted the regression outcomes to assess Berkshire Hathaway’s market sensitivity and its exposure to size and value risk factors MARKET RISK MANAGEMENT PROJECT New York, USA

Graduate Researcher 10/2022-11/2022

● Established Basel regulatory capital framework with Excel and Python, integrating Basel 2.5, FRTB Standardized and FRTB Internal Model Approaches for risk capital computation

● Calculated P&L for a portfolio on the trading book with 9 assets including equities, corporate bonds, government bonds, and commodities

● Calibrated Value at Risk (VaR), stressed Value at Risk (VaR), liquidity-adjusted expected shortfall, and risk sensitivities (Greeks)

● Computed Basel III Standardized Risk Weighted Assets (RWA) and regulatory capital ratio - Common Equity Tier 1 (CET1)

● Conducted two-year P&L stress testing of the trading book under various scenarios required by CCAR framework CREDIT RISK MANAGEMENT PROJECT New York, USA

Graduate Researcher 09/2022-10/2022

● Assessed bank credit risk in terms of probability of default through 3 methods: Transition Matrix, Scorecard, ARIMA time-series model and machine learning methods: Logistic Regression, Decision Tree and Neutral Network for Signature Bank and Silicon Valley Bank

● Evaluated company credit risk in terms of probability of default through 4 methods: Merton’s Model, Credit Spread, Credit Rating Matrix and Altman's Z-score for 3 publicly listed insurance companies: MetLife, Berkshire Hathaway and United Health Group INDUSTRY ANALYSIS AND EQUITY VALUATION OF CHINA LEADING SHORT VIDEO COMPANIES Shanghai, China Undergraduate Researcher advised by Professor Aswath Damodaran 05/2021-08/2021

● Performed DCF modeling with industry index and data gathered from firms’ public financial reports

● Compiled valuation multiples from Bloomberg and Capital IQ, refining a Relative Valuation Model through quantitative analysis

● Assessed Kuaishou's IPO against model outcomes, discussed drivers, and projected growth trajectories ADDITIONAL PROFICIENCIES AND ACHIEVEMENTS

Technical: Python, R, SQL, Microsoft Applications: Excel (VBA), Word, PowerPoint, Databases: Bloomberg, Capital IQ Language: English (Fluent)-TOFEL 111, Chinese (Native)

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