Education
Columbia University
New York, NY
MS in Business Analytics
GPA 3.63
Sep 2018 – Dec 2019
York University
Toronto, CanadaB.A.S. Honors Specialized in Finance GPA 3.62
Sep 2010 - June 2016
Experiences
Royal Bank of Canada
Toronto, CanadaXVA Market Risk Manager in Capital Market
- Market risk monitoring, reporting, and analysis on XVA trading desk(VaR, sVaR, and stress test)
- Built Machine Learning models to predict portfolio PnL under stress scenarios, using sklearn, Statis- ticmodels, Numpy, and Scipy to implement GLM, regularization, Boosting, SVM, and Cross- Validation for model selection and parameter tuning, and customized Robust learning
- Applied natural language processing (NLP) technique, named-entity recognition(NER), using Spacy, NLTK to match hundreds of single name CDS hedges with their respective CVA exposures to ensure accurate delta hedge for over hundreds million dollar worth of trades
- Developed extensible database and pipeline for XVA market risk, implementing Object-Oriented design pattern such as adapter, factory, bridge, facade in Python, supporting over half of XVA risk analyses
Nov 2020 - Present
Royal Bank of Canada
Toronto, CanadaMarket Risk Analyst in Capital Market
- Market risk monitoring, reporting, and analysis on fixed income trading desk(VaR, sVaR, and stress test)
- Designed and implemented interactive dashboard via R, R-shiny, Altair, D3.js, and SQL to enhance risk monitoring process by visualizing various critical financial measures across most of trading desks, and serving real-time Monte-Carlo simulation for future risk exposure
- Implemented ATOM database to streamline workflow and retire obsoleted one via Pandas, PySpark
- Analyzed key trading strategies and products to ensure consistency with RBC risk tolerance and objectives
May 2019 - Aug 2019
Bank of China
Nanning, ChinaRotation in Corporate Banking Department
- Evaluated clients’ credit, and prepared reports for risk management department
- Automated the departments’ monthly data routine by automating the Excel with VBA/macros
- Participated in commercial loan lending businesses and maintaining client relationship(CRM)
- Analyzed key trading strategies and products to ensure consistency with RBC risk tolerance and objectives
Apr 2017 - Sept 2017
York University
Toronto, CanadaResearch Assistant in Research Department
- Digitalized master tapes and edited videos for educational production for Cuba’s Television stations
- Refined the video database’s organization for security and efficiency
Oct 2013 - Apr 2014
Projects
Deep Learning-project
- Analyzed adversarial attack against various network architecture and its defense strategies
- CNN, computer vision
Zoetis Capstone-project
- Implemented machine learning to analysis Zoites’ market data, and generate valuable insight
- Visualized data, and presented report to Zoetis market team to help them better understand the market
NYC yellow Taxi
- Fitted models such as gradient boosting, SVM, randomforest to predict various taxi behaviors
- Implement Monte Carlo Tree Search (MCTS) algorithm for optimize Taxi Cab routes
Financial analyst tool
- Web Scraped, and analyzed financial news by perform NLP, text mining, LDA, LSI topic modeling
- Render functions such as news summary, stock price monitoring and forecasting, with email alert
- Plan to add Word2Vec and deep learning techniques
Stock value evaluation on Metro Inc.
• Researched information in databases as such Bloomberg-terminal, Thomson-One
• Identified and separated driven factors for sale, growth, and recurring/non-recurring items
• Filtered misleading information by methodically combing through available notes and MD&A
• Qualitatively analyzed the company’s, industry’s, and competitor’s business models through research and comparative evaluation with existing models such as Porter, Industry and Business Cycle, SWOT
• Generated modified driven factor forecast techniques for analyzing growth potential and event analysis under the simultaneous conditions of Target entering Canada and Loblaw acquiring Shoppers, using mapping population density against number of stores
• Forecasted stable financial statement items and found related or even leading indicators of industry on large scale by using simple time series regression and correlation matrices
• Conducted financial statement forecasts using techniques such as reconstructing amortization schedules, working capital schedules, and combining previous forecasted items implemented in excel
• Extrapolated scenario analyses from DDM and FCFF modeling, based on forecasted statements using Excel Macro
• Accurately estimated the stock price for the next quarter and wrote analysis reports
Asset Correlation Modeling
• Capable of simple data manipulation using SAS data
• Adept in data visualization of functions including proc plot, proc sgscatter, and proc boxplot
• Accustomed to manually implementing stepwise methods using t-test and partial f-test to reduce interaction terms and dummy variables in both SAS and Matlab
• Practiced in checking models by analyzing three residual assumptions, linearity, multicollinearity, and outliers through graphical techniques, statistical tests, such as Whitehorse, A&D, K&S, and ratio analyses such as VIF, and Cook’s D in SAS
• Proficient in refitting the modeling upon above analyses
Skills
Programing Language
Python, R, SAS, Bash, SQL, VBA, HTML, C++(beginner level)
Knowledge
machine learning, deep learning, combinatorial optimization, graph theory/algorithms, statistic, ETL, A/B testing, data visualization, data mining, mathematic modeling, financial modeling, financial accounting
Tool
Microsoft office suit, Excel VBA, Minitab, Tableau, tmux, vim, git, Gruobi, Pytorch, tensorflow, Networkx, GCP, alibabacloud, Spark, Django, shiny, D3.js