Project Management

Vivian Shi

*** *** **, ****** ****, NJ *****

732-***-**** ******.***@*******.*** Yufan(Vivian) Shi (LinkedIn)

SUMMARY

• Modeling: numerical methods, statistics, probability theory, data mining, regression, stochastic processes, econometrics, time series analysis

• Finance: quantitative portfolio research, mathematical finance, derivatives, computational finance, VaR models

• Programming: Matlab, C++, Excel VBA, R, SPSS, Eviews

EDUCATION

Rutgers University, New Brunswick, New Jersey Sep. 2010 – Jan. 2012

M.S. in Mathematical Finance

Econometrics Modeling Project

• Utilized parameter method to measure Value-at-Risk.

• Applied GARCH, T-ARCH models to calculate volatilities under various distributions.

• Compared results of modeling S&P 500 index based on different distribution assumptions.

• Indicated best combination of T-ARCH model and GED distribution to get a proper VaR.

Portfolio Analysis Project

• Analyzed performance statistics and relationships of 20 stocks in Consumer Goods sector.

• Compared portfolio weights under various assumptions for an investable universe.

• Recognized beta-neutral benchmark optimization and achieved better portfolio weights.

Pricing American-style Option Project

• Applied finite-difference methods for PDE with mixed derivative terms.

• Derived explicit and alternating direction implicit(ADI) schemes for pricing option.

• Implemented in C++ and utilized VBA to design an Excel spreadsheet for direct pricing.

• Observed ADI schemes to calculate option price performs better than explicit method.

Regression Modeling Project

• Built linear regression function model to indicate relationships between fuel consumptions of different states and their relative measurements.

China Agricultural University, Beijing, China Sep. 2006 – Jun. 2010

B.S. in Mathematics and Applied Mathematics

Thesis: Credit Risk Assessment With Sparse Probabilistic Classifiers

• Developed a sparse logistic regression model to do data classify.

• Utilized Germany credit dataset(UCI 2005) to do numerical experiment by using Matlab

EXPERIENCE

Agricultural Bank of China Co., Ltd., Haidian Branch, Beijing, China Sep. 2009 –Nov. 2009

Credit Management Intern, Department of Credit Management

• Examined loan and discount documents to rate companies’ credit to determine repaying capacity

• Conducted financial analysis of the companies including their solvency, profitability and operation capacity

• Revised quantitative and qualitative credit reports to build documents record

ACTIVITIES

IAFE, Quant Club at Rutgers University

Volunteer at 2008 Summer Paralympic Games, Beijing, China Sep. 2008

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