Matthew Yao Email & Phone Number

New York, NY, US

New York, NY, US

Enterprise Risk Management - Risk Appetite Specialist

Frankfurt Am Main, Hessen, DE

Covers Rates Activities

Nanterre, Ile-de-France, FR

Nanterre, Ile-de-France, FR

• Duty 1: Acting as a Market Risk Associate (Assisting in daily market risk analysis and reporting, including generation of daily limit reports and analysis of VaR, Stress Test and other market risk exposures):
• Hands-on coordination of the group responsible for the daily monitoring of risk metrics, and limit usages produced for all SGCIB America’s business lines
• Participating as a key person in the VaR back-testing process, investigating and explaining breaches on the US perimeter as well as organizing weekly and quarterly meeting with different departments
• Providing support and information for various auditors and regulators (FED & NFA)
• Improving market risk analysis which includes:a. Understanding of the portfolios and their compositionb. Risk analytics (VaR, Stress Test, SVaR, Sensitivities, P&L Income Attributions)c. Identifying the flow of current.
• Proposing, developing and implementing tools to better analyze and track the day-to-day fluctuations of the risk usage reports, in accordance to global guidelines

New York, NY, US

• Developed for the Option Prime trading system for all exchange listed and OTC derivatives instruments based on ASP.NET MVC (C#, MS SQL and JavaScript)
• Coordinated with database administrators in designing and implementing a source control tool for managing views, functions, and stored procedures in the database of the Option Prime
• Managed indexing and debugging for the sensitivity reports with invalid data at expiration dates
• Fixed market data discovery process for the particular contracts that having unique settlement date
• Devised user interface for all market reports in order to make the Option Prime more user-friendly
• Added new powerful features to allow traders to have more intuitive view of potential market risk

London, GB

• Conducted fundamental analysis for the grains commodities markets by analyzing supply and demand variables through government reports, Reuters news, and private industry data
• Collaborated closely with senior option traders to discuss hedging methodologies and to monitor and calculate option Greeks for Sensitivity Risk Analysis
• Constructed Risk Analysis using VBA Macro and built data source connection with SQL
• Implemented momentum strategy to identify commodity futures price’s trend and direction
• Assisted operations with trading, trade confirmation, margin calls and settlements
• Translated Reuters news and daily market comment from English to Mandarin for clients in China

• Conducted open interests analysis on grains future contracts based on the daily report data from exchange to track and interpret the collective behavior of market participants
• Worked directly with senior portfolio manager in implementing portfolio strategies across different types of assets based on client’s Risk Aversion Level
• Provided Risk Mitigation and Margin Enhancement strategies for clients
• Constructed VBA model to monitor P&L of each position and entire portfolio
• Built up Excel spreadsheets to collect Key Performance Indicators (KPI) data and evaluated performance

Master Of Science (M.S.), Quantitative Finance

Bachelor Of Science (B.S.), Mathematics And Statistics

Mathematics