Affiliated Researcher, 2020-2021Visiting Scholar, 2018-2019Researched statistical properties of time series of financial risk factors. Developed a procedure that ensures positive definiteness of the covariance matrix in non-stationary covariance models.

Managed a financial engineering team of software engineers, data engineers, and quantitative financial analysts developing financial risk management, asset allocation, and sustainable investing software. Performed statistical analyses on financial data and created mathematical models for financial risk management. Programmed in Python and SQL. • Developed an environmental, social, and governance (ESG) analysis software product in nine months by leading a team of technical experts, designing the database, creating the analytics engine architecture.• Crafted a currency risk module that improved risk forecasts for multi-currency portfolios.• Built a backtesting simulation to optimize multi-factor risk model parameters (in Python/SQL).• Created innovative financial models by managing a team and collaborating with PhD consultants. • Kept development efforts on track through detailed planning and ongoing project management. • Assisted sales efforts by performing risk and sustainability analyses of client portfolios. • Presented written and oral reports of results.• Designed databases, planned a data quality initiative, and drafted technical specifications/user guides.• Mentored direct reports and developed colleagues in the US and China by designing and teaching a Python-based mathematics of financial modeling class.Researcher (2018), Sr. Quantitative Analyst (2014-18)

Applied quantitative methods to build multi-factor, multi-asset financial risk management software that helped clients identify profitable investment opportunities and asset allocation strategies. • Programmed a DFAST/CCAR stress testing product for financial institutions (in MATLAB).• Performed statistical analysis of financial data used in a multi-factor financial risk model. • Wrote the methodology document for risk management and portfolio optimization software.

Led a team of research analysts in the fundamental analysis and comparative valuation of public and private equity and fixed income for a long-short hedge fund. • Created an Excel model that let us optimize option positions in event trading.• Developed Excel tools for investment analysis, risk management, and performance measurement. • Prepared risk and performance reports, technical memoranda, and investment recommendation reports.• Mentored research analysts.