Heng(Harry) Chen, Frm Email & Phone Number

New York, NY, US

New York City Metropolitan Area

Greater New York City Area

• Develop and validate market risk models for portfolios, including VaR/Stress VaR model, ES model, derivative's Greeks sensitivity model and stress testing, using SAS, Python, R and SQL;
• Use machine learning methods to analyze large set data of derivatives through SQL, Hadoop and Python;
• Generate PnL analysis and attribution for portfolios;
• Develop and validate credit risk models to measure exposures against counter-parties, including PFE calculation, PD, LGD and EAD measurement.

Greater Philadelphia Area

• Mainly responsible for providing institutional investors the accurate and timely daily/monthly risk analytics reports and performance attributions reports to support the portfolio management risk;
• Provide risk analytics and P/L attribution analysis, ensuring risk/return data and characteristics correct (VaR, TE, OAD, OAS, DV01), assist clients in understanding the risk exposure and P/L explanation;
• Engage in long-term projects with internal teams maintaining and supporting Aladdin system and risk modeling, attribution modeling, validate risk modelling （mainly through SQL queries, UNIX and R);
• Cooperate with clients to prepare cashflow projections，scenario stress testing and benchmark tracking for passive funds.

Master'S Degree, Statistics

Bachelor'S Degree, Financial Engineering