Bin Chen Ph.D, Frm Email & Phone Number

Woerden, Ut, Nl

Amsterdam, North Holland, Netherlands

Utrecht Area, Netherlands

A senior ALM quant taking leadership roles in multiple model development, risk management, and regulatory reporting projects. Notable experiences are: - Callable bond pricing and risk management- Private debt valuation- Dynamics prepayment model for Dutch residential mortgage portfolios- Mortgage valuation and risk management

Utrecht Area, Netherlands

- Trade DAX futures intraday based on volume profile, order flow and, most importantly, a modern adaptation of Wyckoff method (Wyckoff formalized some very repeatable patterns in the interplay between volume and prices). No overnight inventory. Average 10 trades per day. Winning rate well above 60%.- Later style drift towards holding illiquid alternative income generating vehicles with exposures to private credit, real assets, structured credit and so on, aiming at annualized 8% to 10% cash yield plus an average 10% capital appreciation per year.

Utrecht

Implement new payoffs in the proprietary library (rates focused), develop new calibration routines to capture contemporary market features, liaise with trader and Middle Office for daily P\&L valuation.Notable projects:-- Event weighted FxVol-- Improved callable MTN cancellable swap pricing model-- Improvement to range accrucal pricing in Monte Carlo-- Multi-curve implementation for linear rates products

Utrecht

A joint research project between Rabobank International and National Research Institute for Math and Computer Science (CWI).Notable projects are:1. Implement stochastic volatility LIBOR market model and develop an effective calibration tool for this model when skew parameters are set to be time-dependent;2. Improve the Longsta\-Schwarz algorithm for Callable LIBOR exotics (CLE) and investigate the pricing implication of stochastic volatility to Bermudan swaptions and CLE products ingeneral;3. Investigate alternative hedging strategy for Bermudan swaptions;4. Develop an unbiased simulation scheme for SABR stochastic volatility model;5. Develop a stochastic interest rate extension of the SABR model and the calibration tool which enable instant calibration;6. Implement the Weighted Monte Carlo technique and investigate its application in model calibration;7. Investigate various estimation methods for the CMS convexity correction in multifactor term structure models.

PhD in applied mathematics following Corneils Oosterlee as my superviser. The topic of this PhD project is dynamical system and semigroup method in derivative pricing, which is fully sponsored by Rabobank international.

Utrecht Area, Netherlands

Develop a proprietary global optimization application (in C++) tocalibrate Heson and Bates model.

Master Of Science, System Engineering And Policy Analysis

Activities and Societies: Leco committee, salsa dance committeeDelta Scholarship 2005/2006, concentration in computational finance.

Ba, Management

Beng, Thermal Physics

Second Prize scholarship; Outstanding graduation project award