Market Risk Model Validation-Murex System• Validated the accuracy of volatility smile surfaces and zero coupon curves including bond/loan, interest rate swap, forex swap and currency swap curves, implementing date generation, schedule generators, fixing interest rate indices, stub periods and rate conventions, explaining multi-dimensional interpolation and extrapolation concepts in the calibration process• Examined the methodologies of IRS, commodity and FX option valuation/Greeks/DV01/VaR/Stress Testing for front and middle offices in the approval process of new financial products• Rebuilt Excel VBA object-oriented programming projects for model risk metric outputs• Presented documentations to communicate the review assessments of model behavior with model owners, compliance and regulators in the onboard processPrivate Banking-Asset Allocation• Apply Black-Litterman model to allocate funds among multiple asset classes such as money market, fixed income, equity and commodity products, taking into account clients’ risk preferences and reflecting managers’ market viewsICAAP Stress Testing• Deduced predictive time series of multi-dimensional macroeconomic indices under the Vector Autoregressive Model to generate stress testing scenarios• Presented methodologies, demos and key findings to clientEconomic Capital Measurement• Calculated economic capital of various types of outstanding bonds, loans, commercial paper, ABS, consumer mortgage and credit card debt adjusted for multiple risk factors such as PD, maturity, industry, firm sizes, etc.• Wrote specification documentation for capital management system developmentStandardized Approach Counterparty Credit Risk• Calculated counterparty credit risk of IRS, CCS, FX swaps, FX options and commodity swaps within specified guidelines for a foreign bank to limit risk exposures

• Matched prices derived from Monte Carlo and risk neutral probability discretization methods for discrete double barrier options on CSI 300 equity index with minimal supervision• Coded Matlab algorithms to automate P&L calculation in risk-band delta hedging