Data Manager

Yueming Cheng

**** ********** ****, ********, ** 203-***-**** *******.*****@*****.*** https://www.linkedin.com/in/yueming-cheng EDUCATION

UNIVERSITY OF CONNECTICUT STAMFORD, CT

M. S. in Financial Mathematics (Risk Management) May 2020

• Financial Engineering, CVA/DVA, Corporate Finance, Market/Credit Risk, Bank Regulations, Stress Testing CENTRAL CHINA NORMAL UNIVERSITY WUHAN, CHINA

B. S. in Mathematics and Applied Mathematics 2014-2018

• Calculus, Linear Algebra, Probability and Statistics, Econometrics, ODE, Stochastic Process TECHNICAL SKILLS

Programming: Python (Pandas, Numpy, Sklearn, Seaborn, Matplotlib), SQL, C#, VBA Machine Learning Models: Logistic Regression, Decision Tree, Random Forest, SVM, NLP, KNN SELECTED PROJECTS

MARKET RISK ANALYSIS Oct 2018 – Dec 2018

• Analyzed portfolio volatility using Filtered Historical methods in collaboration with GARCH models (in R)

• Calculated VaR & ES (in Python) using historical simulation, variance covariance and Monte Carlo simulation FINANCIAL TIME SERIES ANALYSIS Jan 2019 – Apr 2019

• Adopted ADF test; utilized differentiation to address non-stationary data; Estimated coefficients for ARIMA

• Performed back-testing on historical data, established Chi-square statistical distribution to validate risk models CREDIT RISK ANALYSIS May 2019 – Oct 2019

• Conducted data cleaning through Winsorization/Logarithmic Transformation/Function relationship selection

• Operated MLE to estimate coefficients of logit regression model and calculate default probability

• Calculated credit rating transition matrices through cohort approach & hazard rate approach

• Optimized linear regression model through clustered regression & beta distribution transmission to predict loss given default

• Measured credit portfolio risk with the Monte Carlo simulation to produce loss distribution

• Built and fit logistic regression model in Python, to detect possible credit card frauds from transaction dataset. Recall rate= 89.12%, accuracy rate = 87%.

WORK EXPERIENCE

CCSZF MANAGEMENT, LLC Westport, CT

Research Associate July 2020 – Dec 2020

● Model Development: Performed on-demand risk metrics reporting and model development to support the trading desk.

● Model Validation: Validated in-house models by reviewing, optimizing, and refactoring the existing codes; Benchmarked existing models by constructing new comparative models; Conducted due diligence research on models’ framework, assumptions, business & economic intuition and mathematical structure.

● Data Engineering: Performed data preprocessing and data visualization with mid-high frequent trading data, developed summarized reporting for market performances.

● Data Platform Construction: Developed a UI in Python (Pandas, Numpy, ipywidgets) and integrated various customized strategies for data processing and analysis to support traders’ decision making. BH ASSET MANAGEMENT, LLC Greenwich, CT

Quantitative Analyst Intern Aug 2019 – Feb 2020

● Model Development: Built a stock scoring model framework in VBA for factor analysis; Provided portfolio manager with model results as benchmark of existing strategies

● Data Engineering: Responsible for interfacing with Bloomberg terminal to perform the data collection, data cleaning, data exploration and data loading

● Data Analysis: Performed time series analysis on individual stock price by consolidating fundamental data and pricing data. Adapted SQL to perform aggregation analysis and batched weekly/monthly analytical reports to support the portfolio manager.

● Model Validation: Applied historical Monte Carlo Simulation to perform P/L analysis to design and optimize existing strategy; Compared and validated existing index-tracking strategies by analyzing model’s tracking error.

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