ZHAOBIN LI

** ***** **, *********, **, ***** adcrsf@r.postjobfree.com 617-***-**** https://www.linkedin.com/in/zhaobinli/ EDUCATION

Boston University, Questrom School of Business Boston, MA Master of Science in Mathematical Finance Sep 2018 - Jan 2020 Cumulative GPA: 3.73/4.00 (Graduated with high honor) Capital University of Economics and Business Beijing, China Bachelor of Art in Finance Sep 2014 - Jul 2018

Cumulative GPA: 3.98/4.00

University of Michigan Ann Arbor, MI

Certificate of Quantitative Method in Social Research Jun 2017 - Aug 2017 Cumulative GPA: 3.90/4.00

PROFESSIONAL EXPERIENCE

Transamerica Baltimore, MD

Quantitative Risk Analyst March 2020 - Present

Calculate sensitivity measures, e.g. Greeks, DV01, Duration, Convexity, for equity options, variance swap and fixed income securities respectively and validate data for those sensitivity measures in Python

Transcode the derivative valuation algorithms from C# to Python to validate the original algorithms

Stress-test portfolios under different scenarios and categorize the predicted cash flow from portfolios by different asset class ASL Capital Market Inc. Boston, MA

Summer Project Quantitative Analyst May 2019 - Aug 2019

Built hedged portfolio using statistical time series analysis, including cointegration test and VAR model, to find relationship

(cointegration factor) between Fed Fund and SOFR Futures

Constructed pairs trading strategy by calculating portfolio variance, setting exponentially weighted average of daily portfolio value, and make long-short trading decisions, making a profit in 75% of the trading time

Analyzed relationship among 30-year Treasury bonds and Futures, built duration hedged portfolio and rebalancing strategy, back-testing daily performance of the strategy

China Innovative Capital Management Co. Ltd Beijing, China Financial Risk Intern Jan 2018 - May 2018

Examined correlations between equity securities and existing portfolios and suggested to asset allocation decisions based on the calculated correlations, reduced volatility by 10%

Wrote weekly and monthly financial risk report, including risk metrics (VaR, Sharpe Ratio, return and volatility)

Back-tested the trading algorithm using Python

Ernst & Young LLP. Beijing, China

Assurance Intern Jan 2017 - Mar 2017

Drafted financial risk report; verified report data through on-site company visits and meetings with managers

Enhanced the database efficiency by matching corresponding information from excel files via VBA programs PROJECTS EXPERIENCE

Stock Return Prediction Project with Machine Learning Cleaned and properly transformed the financial data (monthly data for more than 3000 stocks) from 2014 to 2018; removed highly correlated variables; used particle swarm algorithm to tune hyperparameters for neural networks and XGBoost in cross validation; implemented neural networks and XGBoost machine learning algorithms to predict the returns for 3000 stocks in January 2019 with an out-sample R-square of 12% and an accuracy of 56% in direction prediction.

Stochastic Volatility Model Project

Calibrated parameters of stochastic dynamic model (SABR) from SPY option dataset; implemented time series model (VARMA) and machine learning model (SVM) to predict the calibrated parameters; priced next day’s SPY option price using the predicted parameters, improved pricing accuracy by 20%.

Bloomberg Trading Project

Analyzed interest risk metrics of swaptions in Bloomberg; built hedged portfolios for swaptions based on the analysis and verified the hedging strategy via P&L in scenario tests

SKILLS AND CREDENTIALS

Languages: Fluent in English, Native in Mandarin Chinese Computer Skills: Python, R, SQLite, C#, MATLAB, C++, VBA, Microsoft Office (Excel, PowerPoint, Word) Mathematical Skills: Stochastic Calculus, Machine Learning, Time Series Analysis, Bayesian Statistics, Linear Algebra Certification: Passed CFA Level 2, Empirical Inference of Theoretical Model Certificate, Coursera Deep Learning Certificates

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