Hanna Xiao

ada6lw@r.postjobfree.com +1-519-***-****

EDUCATION

UNIVERSITY OF WATERLOO

Bachelor of Mathematics

August 2017 Waterloo, ON

Major in Statistics

Graduated with Distinction

WILFRED LAURIER UNIVERSITY

Bachelor of Business

Administration

August 2017 Waterloo, ON

Major in Finance

Graduated with Distinction

CFA INSTITUTE

Passed all 3 levels of the CFA

Program

August 2019

LINKS

Github:// h-xiao

LinkedIn:// hanna-xiao

Personal Website:

https://h-xiao.github.io

COURSEWORK

Statistical Learning - Classification

Data Visualization

Applied Probability

Generalized Linear Models

Fixed Income Securities

Risk Management

SKILLS

PROGRAMMING

Strong Proficiency:

Python • VBA • SQL • Bloomberg

Working Knowledge:

Matlab • R • Scheme • LA

TEX • Jekyll

PERSONAL

LEGAL STATUS

TN-1 Visa Eligible (Canadian citizen)

INTERESTS

Tennis • Skiing • Piano

EXPERIENCES

ROYAL BANK OF CANADA Analyst Quantitative Analytics, BSI Mar 2019 - Present Toronto, ON

• Developed and implemented enhancements to the daily PnL and risk generation process for CVA and FVA

• Reduced run time for end of day process from 2.5 hours to 45 minutes by re-writing processes in Python from VBA and SQL and using batch files to schedule Python scripts

ROYAL BANK OF CANADA Analyst Counterparty Risk Trading Sep 2017 - Mar 2019 Toronto, ON

• Created a new submission process to calculate KVA balance of counterparties and worked with large amounts of data in Python to create report using Pandas Dataframes to decompose PnL (new trade, theta, close-out KVA)

• Collaborated with Quants, Risk, Collateral and IT teams to test new enhancements to models used in on-desk pricing and in the overnight PnL and risk calculations of XVAs

SCOTIABANK Analyst Credit Derivatives and XVA Trading Aug 2016 – Dec 2016 Toronto, ON

• Developed a process using Python and Access to make a database for bond data (backfill dates, and daily updating)

• Created a component of a process using R and Excel that compares spread of Z-spread of bonds to assist trader in market making activities ONTARIO TEACHERS’ PENSION PLAN Analyst Credit Trading Jan 2016 – Apr 2016 Toronto, ON

• Proposed and developed macros to automate PnL and other analytical spreadsheets using Bloomberg, Excel, SQL, VBA, pivot tables; reduced time to produce daily PnL report from 1.5 hours to 45 mintues

• Assisted in completing a project using MATLAB to evaluate the current rich/cheapness of bonds by decomposing the components of credit spread

(funding, liquidity, default risk, credit risk premium) based on historic data PROJECTS

QUANTITATIVE TRADING PROJECT

Languages used: Python, SQL

Explores using machine learning to predict market prices:

• Using NLP to classify twitter sentiment of influential people and assess their influence on major stock indexes

• Using fundamental data and technical indicators to perform classification algorithms (PCA, SVM) to assess which have most success in predicting stock prices

• Check out my website where I make posts about my project: https://h-xiao.github.io/projects/

AWARDS

2016 Laurier Integrate Case Exercise (ICE) Competition - Semi-Finalist 2015 Bloomber Algorithimic Trading Hackathon

2014 TMX Options Trading Simulation

2012 University of Waterloo President’s Scholarship of Distinction

(entrance average above 95%)

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