Max (Yu) Meng, Cfa, Frm, Phd, Fmva Email & Phone Number

New York, Ny, Us

Toronto, Ontario, Ca

Developed and supported the API Platform used by internal developers and a cross-asset pricing and risk management platform both on on-premise server and on Microsoft Azure.Enhanced many user-facing applications used for real-time risk, scenario risk, electronic trading, and scalable data analytics utilized by a variety of users including traders, desk managers, risk managers, and sales teams.Built and evolved a variety of custom software and hardware solutions that enabled these products and ensured their future growth and viability from an architectural and technical perspective.

Tokyo, Jp

Developed Financing Risk model by considering market risk, credit risk, collateral and haircut holisticallyDeveloped/validated FRTB IMA ESF models on AWS (Amazon Web Services)Evaluated business processes, anticipated requirements, uncovered areas for improvement, and developing and implementing solutions.

Charlotte, Nc, Us

Developed and enhanced margin analytics within the Prime Brokerage Margin & Risk Technology team on Java platform.Engaged Quantitative Analysts and Business Quants to ensure data quality of inputs and results with Python on Quartz.Structured Agile delivery of milestones aligned with overall project sprints with BitBucket and Jira.

As a key member of a small team, worked on the establishment of Banking Holding Company (BHC) for Mizuho operations in the USCreated market risk management framework, policies and procedures; consolidated risk factors for all entities for the BHC and set up market risk limits and escalation process for the BHC.Managed portfolio risk monitoring and reporting, consolidated credit risk, market risk, liquidity risk and operational risk for BHC.Designed and developed risk monitoring system and daily reports for the BHC with MS SQL server database.Developed risk management and revenue-based metrics for the purpose of Volcker reporting.Monitored, investigated, and enhanced backtesting results, exceptions and enhanced methodology according recent market volatility.Implemented multi-curve in Infinity to calculate MTM value and VaR for interest rate and FX products.Calculated market risk capital for the bank and designed stress testing scenarios. Checked and verified MBS VAR calculation module in order to incorporate prepayment risk in Infinity.Investigated the feasibility and impact of switching to absolute shifts when calculating VaR and reported findings to senior management.Performed independent analysis on the market risk limits proposal from front office. Made recommendation to HO (accept or reject) based on this analysis, the bank’s trading strategy, FO’s historical VaR usage and etc. Analyzed and evaluated the risk of new products and the potential impacts to the current portfolio.Designed and implemented new monthly reports process for Financial Risk Committee. The new process cut down preparation time by over 80%. Analyzed equity/proxy historical prices and calculated unavailable prices with regression model with SASDesigned and Developed a utility to calculate the credit exposure for CDS, which makes it possible for credit derivatives to be incorporated into the bank’s credit risk stress tests.

Doctor Of Philosophy (Ph.D.), Biophysics

Bachelor'S Degree, Physics