Max Zhang, Frm Email & Phone Number

New York, Ny, Us

New York, Ny, Us

Pembroke, Hm, Bm

Pembroke, Hm, Bm

Credit risk, Counterparty exposure, SAA/model review, FX risk etc.

Baltimore, Maryland, Us

• Maintain and develop in-house C#-based derivative valuation library that powers all of Transamerica's hedging trading operations, ranging from curve creation, day count conversion, vol surface construction to pricing a variety of derivative instruments.• Implement stochastic valuation solution for registered index linked annuity (RILA).• Implement SOFR transition for swaption models. • Create XLL-based addin that packages complex derivative computation into Excel.

The Hague, Nl

• Support various fixed income PM team in improving returns and winning and retaining mandates through exploring new product designs, researching various investment strategies and refuting competitors’ external sales pitch. The asset classes include Core Agg, HY Corp, EMD, Leveraged Loan and CLO.• Support the firm’s LDI initiative by researching and publishing thought leadership articles on the strength of fixed income, with a focus on how corporate credit, EMD and leveraged loans help reduce funding ratio volatility.• Utilize advanced knowledge of credit risk and the Solvency II framework in the company’s evaluation of ALM solutions, sales pitch preparation targeted at insurance and pension clients, as well as continued assistance to AEGON Group and Transamerica with their credit risk modeling projects. • Perform methodological review of vendor risk solutions such as Aladdin PRT by BlackRock, as well as quantitative models developed by other front office teams, to ensure internal compliance with model validation guidelines and policies, and no misuse of the model results.• Build Python-based internal fixed income analytics infrastructure to support the credit research team.

The Hague, Nl

The Hague, Nl

The Hague, Nl

• Architected, designed and implemented the next-generation in-house C# stochastic credit risk model used by the entire AEGON Group for Solvency II capital calculations, delivering superior performance, extensibility and user-friendliness.• Provided crucial risk exposure information for both existing portfolios and potential deals by conducting stochastic economic, earnings and capital analysis for various local and global units.• Ensured credit risk model robustness by periodically calibrating spreads assumptions using data from Barclays POINT.• Researched and validated different volatility control strategies for the firm’s annuity balanced funds through model validations and brought senior management attentions to the critical findings identified in the process.

The Hague, Nl

The Hague, Nl

• Provided crucial support to the model validation efforts on asset allocation and trading models, including methodology review, parallel testing, reporting and rectification review.• Increased efficiency by building comprehensive analysis tools for tactical investment strategy development and model validation and automating processes for asset allocation, stress analysis and compliance reporting.

Shanghai, Cn

• Identified and evaluated underlying risks for the new Hua An S&P global oil enhanced indexing fund.• Built an ex-post VaR model for the fund.• Utilize a Bloomberg Terminal to collect and manipulate data and charts.• Create Bloomberg-compatible spreadsheets to conduct real-time analysis on the hundreds of different assets.• Track clients' investment patterns.

Bachelor Of Arts, Mathematics, Economics And Business

Computer Science