Liang Cheng Email and Phone Number

Manage Tax-Aware strategy portfolios at Citi Investment Management under Citi Wealth

Develop asset allocation model for Citi Private Bank and Global Wealth Management.

Design, build and implement quantitative models in credit portfolio analytics and capital stress testing, build analytical models for simulation of financial factors, develop methodologies and analytics for financial risk estimation in industrial strength software systems using latest development technologies:(1) Develop fundamental credit risk models such as Probability of Default (PD), Exposure At Default (EAD), Loss Given Default (LGD), and Credit Spread(2) Develop risk/economic capital model by Monte Carlo simulation with Value At Risk (VAR) using C++(3) Develop inter-obligor and parent-subsidiary correlation model addressing credit co-movement using C++ and SQL(4) Develop double default model for syndicated loans such as fronting facilities which is widely used by Citi Institute Client Group, Private Bank and Consumer Bank using R

Work as a credit portfolio analyst in Citi Model/Scoring/Analysis of Franchise Risk Architecture; Develop credit risk capital model for wholesale credit portfolio:(1) derive inter-obligor correlation(2) calculate risk/economic capital by Monte Carlo simulation(3) allocate risk capital along industry and geography(4) address ad-hoc request from risk managers and business

Implement models in CCAR, regulatory capital and risk appetite; develope analytics in industrial strength software systems using latest development technologies:(1) AMA (Advanced Measurement Approach)(2) CCAR (Comprehensive Capital Analysis and Report)(3) One-in-ten BAU monitoring

Develop cell phone applications for bluetooth and camera with C and C++ in Linux/Unix environment