Risk Analyst, Financial Engineer

Hua (Lucia) Lian *** W. Madison St., Apt. ****, Chicago, IL 60661

Mobile: 312-***-**** Email: *******.****@*****.***

Summary

• Proficiency in Excel/VBA, Bloomberg API, MATLAB, C++, SQL, SAS, R, Word and PowerPoint;

• Strong quantitative, analytic skills in risk management, asset/derivatives pricing, portfolio valuation, financial modeling, financial data analysis, statistical modeling, and computational method;

• Deep academic knowledge of option theory, numerical procedures, stress testing, back-testing, hybrid credit risk modeling, Monte Carlo simulation/historical simulation, probability of default estimation, Altman's Z-Score models, Merton's / KMV model, extreme value theory, and credit risk mitigation, and regulatory compliance (Basel II);

• Proven record of mastering complex concepts fast, and experience in working effectively in a team to develop financial analytical system;

• Self-motivated, highly detailed and able to work on multiple tasks according to their priorities under extreme deadlines in a fast-paced environment;

• Strong written / verbal communication and presentation skills to help interpret technical jargon for end users (external and internal) in a clear and concise fashion.

Education

Illinois Institute of Technology, Stuart School of Business| Chicago, IL, USA

Sep 2009 – May 2011 M.S. in Finance Concentration: Risk Management GPA: 4.0/4.0

Achievement: Pass CFA Level I Exam; Member of Beta Gamma Sigma; Stuart Merit-based Scholarship

Central University for Nationalities| Beijing, China

Sep 2002– July 2006 B.S. in Information and Computational Science

Academic Project Experiences

Apr 2011 Tail Study using Extreme Value Theory

Exploring and defending on the advantage of Extreme Value Theory in explaining the lower tail of the distribution of portfolio’s P&L, as compared with other distribution assumptions and adjustments; Develop analysis in MALAB/Excel programming environment.

Feb 2011 Stress Scenarios Construction

Construct stress scenarios by historical market events study and statistical analysis in MATLAB/Excel;

Identify worst scenarios and assign probability to stress scenarios based on distribution study.

Nov 2010 Barrier Option Pricing

Use finite difference method to price barrier option; Independent programmer in valuation process with MATLAB.

Nov 2010 Internal Issuer Credit Rating System (Group Project)

Team leadership rotation: Project agenda scheduling and pushing; Handling peer stress; Time management on multi-tasks; Technical documentation;

Efficiently conduct stratified sampling, data collecting/summarizing, and perform detailed credit analysis with large data sets (Equity, Bonds, CDS, Financial Ratios and other financial information on the financial

statements of 200 issuers);

Hybrid credit risk modeling and system testing; Extensive work with Bloomberg API; Independent

programmer with MATLAB/EXCEL;

Consulted by Prof. Michael K. Ong.

Oct 2010 Bank Portfolio EL/UL and Risk Contribution Calculation

Calculate Covariance Matrix, Portfolio’s Expected Loss/Unexpected Loss, and Risk Contribution of individual facilities.

Sep 2010 Portfolio Value-at-Risk Estimation

Conduct different volatility estimation approaches, and perform statistical tests in exploring the significance;

Using different approximation approaches, such as Delta-Normal, Delta-Gamma-Normal, and Cornish-Fisher Expansion;

Perform Monte Carlo Simulation/Historical Simulation in MATLAB and make comparison; Check the simulation accuracy;

Portfolio revaluation on scenarios and Value-at-Risk estimation.

Apr 2010 Financial Statement Analysis on Kimberly-Clark and Paper Industry (Group Case)

Analysis of historical operating performance (GAAP basis): year-to-year trend analysis, profitability ratios analysis;

Assessment of financial distress; Financial Position (GAAP Basis) and ROE (DuPont) Analysis;

3-Year Financial forecast for income statement and free cash flow.

Work Experience

Bourbon Financial Management, LLC| Chicago, IL, USA

Mar 2011 – May 2011 Intern

Develop insights and formulate forward-looking views about the expected performance of mutual funds portfolio; Perform Monte Carlo Simulation in access of the distribution of equity portfolios’ P&L, using R software; Work with senior consultant to project related documents to client, and deliver a timely and comprehensive report to senior consultant, etc.

IIT Stuart School of Business| Chicago, IL, USA

Sep 2009 – Dec 2009 Research Assistant

Gather financial information of more than 400 companies through SEC’s EDGAR Filer;

Assist research on underwriting methods choice in IPO;

424B files searching, and underwriting methods identification.

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