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编号：P022821H02C02A35 [查询]
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刘先生 金融投资行业 金融模型分析设计 部 计量投资管理 |
参选文章： 个人简介：| 出生日期： | 1972年 |
| 婚姻状况： | 已婚 |
| 教育背景： | 1、2006年毕业于芝加哥大学 金融数学 学历：硕士 |
| 2、1998年毕业于复旦大学 计算机科学 学历：硕士 | |
| 工作经验： | 10年以上工作经验 |
| 个人评价： | 金融产品及模型: 固定收益债券及衍生工具 (IR future, Bond option, Return Linked Notes, snowball, callable CMS, PRDC) modeling with G2 short rate model, LMM/BGM, LMM with SABR, CEV, Multi-curve framework, OIS discounting; 信用产品及衍生工具 (CLN, FtD basket CLN, CDS, contingent CDS, CDO, TCDS^2 and TRS) modeling with intensity model, copula function for correlation products (base correlation, compound correlation); 证券股票 (cliquet option, basket option, exotic options, variance swap, equity curve, stochastic volatility as Heston, SABR); 大宗商品模型 (metal index option, forward curve, lease curve); Model calibration with Levenberg Marquardt and Simplex; Monte Carlo simulation (Sobol, brownianbridge, antithetic variates, LatinHyperCubic), MC with jump diffusion; Statistical arbitrage and trading strategy (pair trading, volatility trading, kurtosis/skew trading, price reversion and momentum); Volatility surface, local volatility calibration, dupire equation; CAPM and quantitative portfolio theory, Multi Factor Models and PCA; MBS, ABS; PDE, numeric method, algorithm implementation, solver (Newton-Raphson, Secant Method), numeric integral, PDE grid solver; martingale measures, change numeraire, Feynman-Kac formula, Girsanov’s theorem, Levy process, Jump diffusion; time series (ARMA, GARCH, MLE, linear/non-linear regression); 资产投资策略: CAPM and quantitative portfolio theory, Black-Littleman model, Multifactor models and PCA, Risk Based Portfolio Construction (Risk Parity, ECR, Maximum Diversified Portfolio), Rebalance strategies, resampled efficient frontier; 风险管理: 市场风险: VaR/CVaR calculation (historical simulation, Monte Carlo simulation, scenario simulation interpolation, partial revaluation, Principal components reduce factors), expected shortfall, stress test, back test Counterparty Risk, CVA: Counterparty risk pricing and hedging, CVA/DVA/FVA, EPE/PFE/EE/EEPE, Right-way/wrong-way exposures, PD, EAD, LGD, Basel II/III, marginal CVA; VaR model for CVA Risk, credit risk structure model and reduce form model 程序设计: Python (Pandas, Numpy), C , multi-threading, Java, Excel/VBA, Matlab, Bloomberg Data License, Polypath, S-Plus, Perl, UNIX Shell, Valgrind, grid computing, design pattern, Clear case, CVS/Perforce, Eclipse, XML, Spring, MQSeries; 数据库: SQL, Sybase, SQL Server, Oracle, stored-procedure, E-R methodology, data modeling; OOA/OOD: UML, RUP, OMT, Rational Rose Suite, Object Modeling; |
| 工作经历1： | 2014年9月至今 在 ※※※ 公司 任 金融模型分析设计 计量投资管理 |
| 主要职责： | ?Led development of pricing and risk management for hybrid portfolio (equity and IR rates); designed market data and trade info calling QuantLib for pricing and risk calculation. ?Built quantitative analysis library for HybridEquitySwapRateOption pricer for MC simulation model and two dimension integration model; built scenario analysis and PnL attribution for equity level, swap rate, equity vol and swaption vol as well. ?Extended QuantLib open source and integrated it with in-house C analyt... |
| 工作经历2： | 2012年6月--2014年9月 在 美国美林银行 (Bank of America Merrill Lynch) 任 资产投资及风险管理 金融模型分析设计(顾问 ) |
| 主要职责： | ?Led team to design and implement Balanced Risk Ultra Portfolio strategy for Merrill Lynch cross-assets sub indices; calculated covariance under EWMA, setup leverage rate, optimized weighting based on percentage risk targets, and conducted back test and performance analysis with Risk Parity, Equal Risk Contribution and Most Diversified Portfolio strategies. ?Designed and implemented DAA (Dynamic Asset Allocation) to forecast return and covariance with factor model; identified fundamental, macro... |
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