Difei (Ethan) Cai Email & Phone Number

Hartford, Ct, Us

Windsor, Connecticut, United States

Windsor, Connecticut

Windsor, Ct

• Calibrate and run stochastic interest rate models, including Hull-White• Price fixed income securities and derivatives using yield curves derived from the Hull-White process• Develop prepayment speed models for mortgage backed securities• Calculate CAPM parameters for equities• Estimate parameters for Levy Jump Process applied to distributions of equity returns• Price equity options based on closed form solutions and Hull-White trinomial tree process• Model commodity features required for simulation, including seasonality and convenience yield• Model currency movements using stochastic processes• Analyze results of Global Markets Risk system for reasonableness including Value at Risk, Exposures, Duration and Convexity, Greek analysis, and equity CAPM measures and risk/reward ratios• Produce Form PF, OPERA report for clients• Meet with SS&C management, salespeople and clients to explain the results of stochastic simulation of portfolios

Hong Kong

• Calibrate and run stochastic interest rate models, including Hull-White• Price fixed income securities and derivatives using yield curves derived from the Hull-White process• Develop prepayment speed models for mortgage backed securities• Calculate CAPM parameters for equities• Estimate parameters for Levy Jump Process applied to distributions of equity returns• Price equity options based on closed form solutions and Hull-White trinomial tree process• Model commodity features required for simulation, including seasonality and convenience yield• Model currency movements using stochastic processes• Analyze results of Global Markets Risk system for reasonableness including Value at Risk, Exposures, Duration and Convexity, Greek analysis, and equity CAPM measures and risk/reward ratios• Produce Form PF, OPERA report for clients• Meet with SS&C management, salespeople and clients to explain the results of stochastic simulation of portfolios

Windsor, Ct

• Calibrate and run stochastic interest rate models, including Hull-White• Price fixed income securities and derivatives using yield curves derived from the Hull-White process• Develop prepayment speed models for mortgage backed securities• Calculate CAPM parameters for equities• Estimate parameters for Levy Jump Process applied to distributions of equity returns• Price equity options based on closed form solutions and Hull-White trinomial tree process• Model commodity features required for simulation, including seasonality and convenience yield• Model currency movements using stochastic processes• Analyze results of Global Markets Risk system for reasonableness including Value at Risk, Exposures, Duration and Convexity, Greek analysis, and equity CAPM measures and risk/reward ratios• Produce Form PF, OPERA report for clients• Meet with SS&C management, salespeople and clients to explain the results of stochastic simulation of portfolios

Initiated, designed and programed a portfolio generator; increased speed of risk reporting process; cut 30+ minutes on each risk reportAnalyzed different types of financial asset data from Bloomberg Terminal on daily basisManaged financial assets (fixed income, option, equity and so forth) and generated daily risk reports (covering exposure, VaR detail, historical scenario analysis, risk delta, duration and convexity analysis) for clients under time constraints and quality requirementsCommunicated with Accounting Departments per accounting related issueWorked with risk team members to solve client reporting issuesProvided supportive assistance to analysts on Open Protocol Enabling Risk Aggregation (OPERA) and Form PFRecorded and analyzed the current system issues, solved the issues with IT Department and other developers within Risk Department

Assisted staff with foreign exchange transactions using Inter-bank Foreign Exchange Settlement SystemProvided supplemental analysis on the fluctuation of foreign exchange on daily basis using Manjinbao FX Trading SystemSupported staff with daily foreign exchange settlement with headquarter using FXYCS and created a contribution of $2,000 profitInstructed clients with optimal solution based on their situation and requirementLearned SWIFT CODE and applied the knowledge when assisted open Letter of Credit for clients

Performed outstandingly and was awarded " Certificate of E.S.O.L Tutor Service"Observed and analyzed each student's performance and made proper adjustment to the original course plan and focus, customized course arrangement and materials for each studentImproved five non-English speaking Chinese immigrants' English skill through one-on-one tutoring two hours per week

Assisted academic advisors in presenting 20 sessions on degree requirementsHelped 100+ freshman and transfer students choose and register for course based on their academic goals

Worked in a team to input survey data and analyze the information using SPSS Conducted and distributed research survey, took notes on detailed information provided by interviewees

Organized and updated clients' information and related materials by using MS Access, and provided general maintenanceRecorded and updated office expenses and produced monthly report in ExcelResolved long waiting time for manager to respond to each customer by introducing new response process, speeded response time by 50%Controlled and budgeted on ordering goods based on inventory to support the daily operation of the office

Master Of Science, Business Admission, Information System Concentration

Related coursework: Database Management, Business Data Communications, Project Management Related project: SQL Server Project - Potem.

Bachelor Of Science (B.S.), Marketing

Bachelor Of Science (B.S.), International Business/Trade/Commerce