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Quantitative risk professional: quantitative developer/analyst/manager with over 18 years of experience in financial engineering, trading, model validation, research, and software development. Solid understanding of interest rate modeling, portfolio optimization, traded securities, credit and structured product (RMBS,CDS, etc.), automation, and model risk management. Extensive professional experience in programming using Python, C++,R/RMarkdown, Matlab, .NET, and Excel/VBA, focusing on financial services and hedge fund trading systems. Areas of Expertise: Financial Modeling (derivative pricing across various asset classes, market risk, and xVA/PFE), Competing Risk Modeling (Prepay/Default/Severity), Interest Rate Modeling (Term Structure Models including LMM, Multi-Factor Cheyette, Quadratic Gaussian, and HW, and SABR), Futures, Commodity Indices, Energy Derivatives, Monte Carlo Simulation, Stochastic Calculus, Technical Analysis, Signal Analysis, Portfolio Theory, Data Mining, Independent Component Analysis, Artificial Neural Networks, Pattern Recognition, Statistics, Constrained/Non-constrained Optimization, Genetic Algorithms, Multi-Objective Evolutionary Algorithms, Numerical Analysis.Technical Skills: C/C++, Managed C++/CLI, C#.Net, VB.Net, Python,R/RMarkdown/Splus, Yieldbook, Bloomberg, Calypso, UML, Design Patterns, Boost, Data Structure, Pthreads, MATLAB, ADO.Net, SQL server, SAS/SAS Macro, Fortran, Linux/UNIX, VBA, Access, Excel, Spyder, PyCharm, VSCode, GitHub,etc.
Wells Fargo
View- Website:
- wellsfargo.com
- Employees:
- 205138
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Model Risk Office, Head Of Model Validation For Fixed Income (Rates, Fx, And Muni)Wells FargoCharlotte, Nc, Us
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Executive Director, Quantitative Analytics ManagerWells Fargo Jun 2023 - PresentSan Francisco, California, UsHead of Multi-Asset Validation Team • Manage a team with both quantitative analysts and qualitative analysts to conduct validation activities for both qualitative and quantitative models in multiple areas including Equity Derivatives, Credit Derivatives, Counterparty Credit Risk, and Market Risk Management in CIB and MCRM. • Lead model library & infrastructure development and multiple initiatives to improve the validation efficiency: Standard Testing Framework, Nightly Regression Automation, CICD Release process.• Lead the communications with different external audiences including model developers, internal audits, and regulators for the covered 40 models.
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Senior Vice President, Senior Lead Quantitative Analytics SpecialistWells Fargo Aug 2015 - May 2023San Francisco, California, Us(1) Validate models across various asset types: (i) Credit and Structured Product(BlackRock, MBS, RMBS,CDS, prepayment models, etc). (ii) Interest rate models (LMM, Quadratic Gaussian model, Hull and White, SABR, Swap, Bermudan Swaption, Curve building models, Inflation, etc) (iii) Equity (Worst of AutoCallable) and Commodity models (Storage Pricing) (iv) Market Risk Models (VaR, Stress VaR, Volcker P&L). (v) PFE model: lead the validations of interest rate related PFE pricers. (2) Contribute to and lead multiple initiatives:(i) The main architect and developer for the framework of Market Model Validation(MMV) library.(ii) Lead the project of Taxonomy, integration, and standard testing for MMV team.(iii) The creator and main contributor for the Wiki page of MMV team. (iii) Proactively participated multiple CMoR initiatives to improve the model validation quality, processes, procedures, and standards: Minerva, Documentation Generation System (DGS), validation workflows, life cycle policy review, knowledge sharing, Validation on Demand (VoD), MMV on Server, etc.(3) Cross Functional Model Validation(i) Expanding technical knowledge base and get exposures to all domains (Market Model, Stress testing and Balance Sheet, Data Science and Artificial Intelligence, etc.)(ii) Developing and improving soft skills from all perspectives: leadership, communication with various technical or non-technical audiences, coaching, presentation skills ,etc.
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Vice President, Senior QuantBank Of America Merrill Lynch Jun 2010 - Aug 2015Charlotte, Nc, Us(1) Perform model validation and replication of various Wealth Management Systems including WealthBench/WealthPlanner, Barra Optimizer, Axioma, FactSet, Forex (MarginMan) etc. Specific techniques cover single period portfolio optimization, multi-period portfolio optimization, multi-asset multi-period Monte Carlo Simulation with cash flows, Bootstrapping, and risk metrics(VaR,XLoss/XGain), Goal-Based asset allocation, after tax portfolio optimization, and Forex Margining. (2) Conduct model validation and report writing on various models including CICPM ( Default/Redefault Model, Prepayment Model, Severity Model), Net Present Value Models, Joint Odds Model, Loan Modification Programs, Optimization Model, and Loss Forecasting Models. -
Research Engineer, Developer, And TraderNeurodimension (Ndimensional) Feb 2005 - Jun 2010(1) Designed and built C++ numerical library with various advanced algorithms including Principle Component Analysis, K-Mean Clustering, Multi-Dimensional Scaling, Self-Organizing Map, Locally Linear Embedding, Simulated Annealing, FFT, Hurst Exponent, Savitzky-Golay filter, Automatic Feature Selection algorithms, etc.(2) Created numerous algorithmic trading systems for hedge funds. These trading systems are mainly based on Artificial Neural Networks, distributed computing, support vector machines, and other state of art quantitative algorithms. (3) Researched into twelve commodity indices including GSCI, DJAIG, etc (4) Researched into hundreds of existing technical indicators and trading systems. (5) Researched into Modern Portfolio Theory, Post Modern Portfolio Theory, and created Generalized Portfolio Optimization Algorithm. Implemented traditional mean variance analysis and the novel portfolio analysis algorithms(6) Restructured and expanded the Genetic Library with various attribute selection algorithms and Multi-objective Evolutionary Algorithms.(7) Hands on trading experiences on commodities and electricity derivatives.
Devin Zhang Skills
Devin Zhang Education Details
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Tennessee Technological UniversityElectrical Engineering -
Tennessee Technological UniversityMathematics
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Shanghai Jiao Tong UniversityManagement Science
Frequently Asked Questions about Devin Zhang
What company does Devin Zhang work for?
Devin Zhang works for Wells Fargo
What is Devin Zhang's role at the current company?
Devin Zhang's current role is Model Risk Office, Head of Model Validation for Fixed Income (Rates, FX, and Muni).
What is Devin Zhang's email address?
Devin Zhang's email address is de****@****hoo.com
What is Devin Zhang's direct phone number?
Devin Zhang's direct phone number is +161923*****
What schools did Devin Zhang attend?
Devin Zhang attended Tennessee Technological University, Tennessee Technological University, Shanghai Jiao Tong University.
What skills is Devin Zhang known for?
Devin Zhang has skills like Monte Carlo Simulation, Wealth Management, Risk Management, Financial Modeling, Data Mining, Statistics, Vba, Matlab, Sas, Optimization, Quantitative Analytics, Predictive Modeling.
Who are Devin Zhang's colleagues?
Devin Zhang's colleagues are William Dollarhide, Navateja Kajjayam, Regina Kelsey, Cyrene Carino, Deepa Vanniyar, Gaurav K Sharma, Esin Eyer.
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