Experience

  • Assistant VP, Model Validation

    at State Street,

    July 2019 - September 2019

    Zhejiang Sheng

     Independently validate CCAR Hybrid Var, close to $20billion by various Copula models for cross-asset class correlations and Global Macro trend, using ABX subprime mortgages, VIX, S&P, using machine learning techniques and Python. It is for Pension fund portfolio allocation and global Macro trend strategies.  To reduce Compliance and OPS risks, explore using machine learning models NLP models like BERT, LSTM, attention model, deep learning, and reinforcement learning, on say AML, KYC, creditScoring, client profiling.  Explored using ML algorithms like Boltzmann Machine on Algorithm trading across asset class like FX,Equity,Fixed income and Credits.

  • Associate Director (Risk Control Quant)

    at UBS

    May 2017 - September 2019

    Shanghai Shi

    • Designing MBS/ABS/CDS pricing and hedging strategies for Default and Interest rate risks for UBS US $13billion Non-Agency (NA) adjustable-rate Non-agency mortgages, using SVBGM, MNL models. • Answering FED/FDIC enquires on the NA MBS portfolio and CCAR stress test. Answering other regulatory enquires on counterparty risk pricing and CVA/FVA/MVA risks, IFRS 9, Basel Reporting PD, LGD, recovery. • Support Equity, FX, Commodity, and Rates, FO pricing models, RWA, and front-to-back project delivery. • Support Machine learning, Natural language processing (NLP), word2vec, BERT (biLSTM) projects using parallel computing IT system such as GPU Tensorflow Keras, Kdb+/q. • Explored Sciki-learn Machine learning library such as tensorflow, dimensionality reduction, decision tree, clustering, gradient boosting, neutral network, random forest, support vector machine, cnn, dnn, rnn、Gradient boosting, GBDT, deep learning models using Tensorflow, PyTorch, and Keras。

Education

  • PhD

    at University of North carolina Chapel Hill

    2004 - 2010 (6 years) North Carolina

  • MSC

    at Economics

    2001 - 2003 (2 years) Singapore

Languages

  • Chinese Native

  • English Negotiation

Hives