Experience

  • Master thesis student

    at Swiss Re Group

    January 2019 - July 2019

    Kanton Zürich

    • Extreme value analysis: Calculate ES and VaR of bonds, commodities and stock indices by extreme value distribution. Build a model by the non-parametric method, bootstrapping peaks-over-threshold samples from the previous 120 years. Backtest the robustness of the model. • Data preprocessing: Transform incomplete and inconsistent financial data into an understandable format and visualize them.

  • Desk Quant Intern

    at G-20 Advisors AG

    May 2018 - October 2018

    Kanton Zürich

    • Develop quantitative trading models and automation system to support the portfolio manager. o Historical time-series forecasting system: Analyze and compare past events to more recent ones. Technical analyze and predict indices movement. o Volatility pricing model: Automate the process of selecting currency pairs and make hedging strategies. Capture the movement and statistical model of key currency portfolio. o Quantitative risk control system: Price the derivatives and control the sensitiveness of the price of the current portfolio. o Macro indicator model: Design warning system on the macro-economy on target countries. o Routine automation task: Build small automated tools on VBA to speed up trader or admin staff’s work. • Quantitative research and develop strategies: Implement or test trading strategies, like machine learning approach to trading gold volatility, cross-asset volatility pair trading, etc.

  • Research Analyst Intern

    at Haitong Securities

    June 2017 - October 2017

    Shanghai Shi

Education

  • Master

    at University of Zurich

    2016 - 2019 (3 years)

Languages

  • German Native

Hives