Operational Research Analyst and Developer /Quant Analyst

PROFESSIONAL SUMMARY

• * year experience in quantitative finance analysis, financial applications design and development for equity, fixed-income securities and their derivatives, building models for pricing, hedging, risk management, portfolio management, foreign exchange, etc.

• Expertise in developing models and spreadsheets using VBA/EXCEL, statistical packages of MATLAB

• Demonstrated skills in Java programming, design patterns, OOP design and development

• Sound knowledge of RDMBS and database normalization. Hands-on experience with SQL, stored procedures, functions, triggers

• Ability to develop financial analytical and numerical models such as Black-Scholes, lattice models, finite difference models, IR, VAR and time series models, Monte-Carlo simulation etc.

• Sound understanding of mathematics in quantitative finance, Ito formula, Girsanov theorem, Martingale Representing Theorem; portfolio management, FX theories

• Hands-on experience in the full life cycle of software development process including requirement definition, prototyping, design, interface implementation, testing and maintenance

• A fast learner with sharp problem-solving skills and a deadline-driven team player with strong interpersonal communication skills

EDUCATIONS AND CERTIFICATIONS

• Columbia University, New York City, US

Master in Financial Engineering, Operational Research Department

• Huazhong University of Science and Technology, Wuhan, China

Bachelor in Computer Science

TECHNICAL SKILLS

Operating System: Windows NT/XP/2003/2000/98

Databases: Oracle 9i, MS SQL Server, Access

Programming Languages: Excel/VBA, JAVA, C, SQL, PL/SQL

Database Tools: Oracle PL/SQL Developer, MS Access, TOAD

Software Packages: Microsoft software package, JBuilder, Visual Studio

Real Time Data Feeds: Bloomberg, Morningstar

Reporting: Oracle Reports

Version Control: ClearCase, Win CVS

PROFESSIONAL SUMMARY

Client Name: AstraZeneca

Duration: Nov 2008 – Jan 2009

Designation: Operational Research Analyst and Developer

Environment: MS Excel/VBA

AstraZeneca is a world leading pharmaceutical company with national marketing companies in 59 countries. AZ’s sales and marketing effort uses a wide variety of promotional channels. This project for Quantitative Commercial Insight group is to optimize the resources allocation across all channels (up to 50) and physician segments(up to 200) to maximize the total impact sales for individual product.

Roles and Responsibilities:

• Worked with quantitative commercial insight group to optimize annual estimates based on linear/quadratic/ lognormal promotional models using SOLVER in EXCEL VBA, resolved efficiency issues of the optimization tool

• Created reports for calculated business data (ROI, total impacted sales, carry over rates, etc.) across all sales channels and physician segments

• Dynamically displayed sales attribution, ROI summary, etc using Charts in EXCEL

• Automated the output process, created an eight-sheet template and generated a new EXCEL file for result review

Client Name: MKP Capital Management, L.L.C., New York, NY

Duration: Nov 2007 – Nov 2008

Designation: Quant Analyst and Developer

Environment: MS Excel/VBA, SQL Server 2005, MATLAB, Bloomberg

MKP Capital Management, L.L.C. specializes in fixed income alternative investment products. This project involved design and development of bond futures pricing model, implementation and customization of a bond derivatives pricing tool to assist in pricing and evaluating investment strategy.

Roles and Responsibilities:

• Worked with quantitative research team to remodel bond future pricing model using semi-explicit pricing formula based on HJM one-factor model in MATLAB

• Re-implemented the whole pricing model in EXCEL/VBA after comparing it to numerical approach

• Developed VBA code to calibrate HJM model using Black’s swaption price formula using real-time market data(at the money swaption implied volatilities, strike rates) from web-based data source

• Coded in VBA to Perform delivery option (cheapest to deliver), price sensitivities(Delta, Gamma, bucket sensitivities) analysis by shifting the yield curves

• Implemented hedging strategy in EXCEL/VBA by computing in-the-model Delta, which embedded yield beta hedging ratio

• Built a database in Access to store the data feeds(bond future, swaption) from Bloomberg to enable more efficient data analysis

• Customized User Forms in EXCEL VBA to perform analysis on price, delivery option and price sensitivity under different yield curve scenarios. Visually displayed the quantitative information using charts in EXCEL for decision making assistances

• Designed and hard corded pricing models in JAVA for defaultable coupon-bearing convertible bond using Finite Difference methods

• Computed the Greeks of convertible bonds in JAVA using Crank-Nicolson method

• Utilized Excel VBA to develop calculators for data like price of interest rate swaps, and interest rate derivatives, volatility, bond option, bond YTM (yield to maturity) rates over user defined time period

Client Name: OTA Multi-Strategy Fund, Purchase, N.Y

Duration: Sept 2006 – Oct 2007

Designation: Quantitative Developer

Environment: MS Excel/VBA, SQL Server 2000, Bloomberg, Windows VSS

The project with OTA was to set up a firm wide risk management system, which measured and monitored the market and credit risk the whole firm has exposure to.

Roles and Responsibilities:

Worked in risk system development team of 3 to evaluate market and credit risks

• Built EXCEL/VBA applications using add-ins for front desk to keep track of daily/monthly portfolio risk valuation, P&L, parametric Value-at-Risk (VaR), delta-normal VaR, expected shortfall, risk factors (bond duration, option Greeks, etc), risk factor correlation etc.

• Designed and developed new add-ins for the risk system in C# (like a GARCH model for risk factor volatility calculation based on historical data, a single-factor modeling risk framework allowing firm to measure and deconstruct bets it is making)

• Utilized Excel/VBA to develop macros for counterparty credit risk calculation (like credit VAR, probability of default, loss given default, expected potential exposure default) using add-ins

• Helped to build a risk report system in .NET platform for outside reviewers

• Tested and validated the risk models. Reviewed the underlying assumptions, theories, implementation in C# code. Performed the tests using independent software or self-developed procedures to replicate results

• Created ADO based connections in EXCEL/VBA and C# to access and store data to internal database on SQL Server

• Performed back testing and stress testing on the models, customizing the scenario analysis by creating user interfaces in EXCEL and plotting the test results

• Generated EXCEL based EOD reports containing pricing and risk data for review

• Automated the report generating process and added alert (warning signals)reporting framework to the system

Client Name: Rochdale Investment Management, New York, NY

Duration: Apr 2005– Aug 2006

Designation: quantitative analyst

Environment: MS Excel/VBA, MS Access/VBA, SQL Server 2005, Bloomberg

Rochdale Investment Management deals mainly in Hedge Funds and Derivatives Trading. The project was to provide data analysis, integrate and upgrade existing derivatives pricing tool.

Roles and Responsibilities:

Junior VBA developer with front and middle office

• Maintained and enhanced existing EXCEL/VBA applications for the trading floor, fixed errors and optimized them for better efficiency

• Assisted in evaluating derivatives (such as equity, interest rate, credit derivatives, exotic swaps) in EXCEL/VBA adhering to a more object-oriented design approach, using quantitative methods included Black-Scholes-Merton model, two-factor lattice model, finite difference, and Monte-Carlo Simulation.

• Extended above models to value option and interest rate volatility surfaces

• Retrieved business data from ORACLE using complex queries. Developed SQL scripts and stored procedures to carry out jobs like pulling out reports, transferring data, executing business logic

• Collected requirements from end users, assisted in analysis and design of short and long term solutions

• Created Macros with ADO in Excel/VBA to facilitate data access, integrated with Oracle, TXT and XML files

• Created inventory of existing spreadsheets, documented their structure, data sources, and cross-dependencies

• Developed reports and pivot charts in EXCEL for trading floor to review their portfolio’s weekly/monthly performance

Ping An Insurance (Group) Company of China, Shenzhen, China

Duration: June 2001– May 2004

Designation: Analyst /Programmer of Information Technology Department

Environment: Java/J2EE, JBuilder, JUnit, Oracle 9i, Oracle Forms, Oracle Reports, Excel/VBA, Access, ClearCase

Ping An Insurance (Group) Company of China, Ltd ("Ping An" or "the Group") is the second largest insurance company in China with assets value more than $10 billion, clients more than 30 million. It is the first integrated financial services conglomerate in China that blends its core insurance operations into securities brokerage, trust and investment, commercial banking, asset management and enterprise annuities to create a highly efficient and diversified business profile.

Roles and Responsibilities:

Analyst, Asset Management Group

• Worked closely with actuaries to extract business data of variable universal life plans from Enterprise Life-insurance System (ELIS), helping them evaluate performance of the funds

• Created Access database and EXCEL spreadsheets to hold portfolio and fund data from Oracle

• Implemented the centralized Claim Handling System (CHS) of ELIS on Java/J2EE platform, using JDBC to operate data from more than thirty separate databases(one central database and dozens of branch based database), in collaboration with a team of four

• Developed PL/SQL scripts to create central database, upgrade existing regional database, and transfer business data for the new system

• Analyzed the business requirement of CHS transforming it into system requirement, designed Activity diagrams for most of use cases identified using Rational Rose

• Facilitated life insurance business process reengineering according to backup centralization strategy, in collaboration with business department and outside consultants from Mckinsey

• Maintained ELIS build on Oracle Forms, PL/SQL stored procedures, Oracle Reports which is deployed over thirty databases/regional braches

• Provided technical support to internal ELIS users, progressed from error reports to well defined design documents

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