mortgage trading

Residential mortgage modelingUnsecured consumer lending modeling

Credit Deal Analyzer • Developed a Monte Carlo simulator to estimate new transaction incremental credit risk in expected loss, and economic capital using a multi-factor model and Python/Pandas/Numpy.• Developed machine learning models(tree, random forest, boosting, neural network) to provide simulation-free credit risk estimation for new deals based on current portfolio analysis results using Python/sklearn/keras/xgboost. • Developed user interface including TCP service and web application using django/HTML/Tableau.Portfolio Economic Capital Modeling• Design economic capital modeling methodology for MUFG portfolio, including scenario setup, parameter setting, and valuation methods selection. • Independently developed ETL process (10k lines+) to automate economic capital simulation process including data loading and validation, task submission and monitoring, testing cases, and risk reports generation using Python/SQLAlchemy/SQL/OOP/Git• Developed portfolio analytic interface for the downstream user using TableauStructure Product Modeling• Modeling single CLO/CDO credit risk parameters with Monte Carlo simulation and BET analysis. • Design credit structure product EC modeling methodologies such as CLO, CDO, CMBS, and RMBS.

• Developed global credit risk appetite framework and limit setting for global portfolio credit risk management.• Developed data analysis and reporting tools for global portfolio to monitor credit risk metrics and drivers with Python.• Training in different credit risk functions such as Basel, stress testing, credit policy and credit planning.

Develop the FPGA program for Image Signal Processing algorithm used in digital camera.

Developed test cases and test platform for ultra-high-speed telecommunication module based on C++.

Test “Auto Fare Collection (AFC) System” designed for Beijing subway system