Michael Shen Email & Phone Number

• Constitute Enterprise Risk Management (ERM) project to lead risk managers at subsidiaries to conduct Group level integrated Earning-at-Risk and Capital-at-Risk Stress-Test.― The Stress-Test results reflects the loss under the 1-in-10-years stress scenarios incurred by Group’s overall risk positions. Subsidiary’s Risk managers follow pre-defined parameters and methods to compute the “Economic Loss” by Credit, Market, Insurance, and Operating risk. Group’s risk managers aggregate the Economic Loss and calculate the Earning impact on the Income Statement (EaR) and Capital impact on the Balance-Sheet (CaR).• Establish market risk management policies to apply consistent methods to measure and control the capital market investment risk within the Groups’ risk limits. VAR risk limits are allocated across various asset classes to diversify the portfolio concentration risks.• Utilize Basel II rating criteria for “Income-Producing Real Estate Exposures” and “High-Volatility Commercial Real Estate Exposures” as the basis to establish “Investment Guidelines and Risk Quantification Standards” for the Real Estate and Infrastructure investments. • Establish methods to quantify the credit risk exposure at the Trust subsidiary under the Basel II Risk-Weighted-Asset (RWA) framework. Foundation-IRB Approach is utilized to quantify the credit risk of loan-based Trust plans, while Standardized Approach is applied to quantify the credit risk of non-loan-based Trust plans.• Develop ”Car Dealership Credit Rating Guidelines” to manage the credit risk embedded in the business line of “Car Dealership Loan Performance Guarantee Insurance”, underwritten by the P&C insurance subsidiary.― The credit rating guideline consists of six “Risk Factors” and each factor is assigned a weight to reflect the importance and significance of each factor for the overall rating result

• Price and structure bespoke synthetic CDO as “out-of-money” credit hedges for credit portfolio, resulting in lower risk capital requirement and higher Return on Capital.― A Heterogeneous Gaussian Copula model is built in VBA to price the bespoke synthetic CDO. The model allows “stress-test” by assigning different weights and recovery rates for each corporate name while the time-dependent default probabilities are derived from the CDS market quotes. • Develop VBA-based algorithm to calculate Basel II potential future exposure (PFE), expected exposure (EE), and expected positive exposure (EPE) of non-generic swap portfolios to estimate the counterparty credit risk ― Potential future exposure (PFE) envelop is calculated over a pre-defined range of forward rate volatilities, maturities, and confidence levels. A Monte Carlo simulation is utilized to calculate expected exposure (EE) and expected positive exposure (EPE).• Establish new investments control processes of by developing analytical capabilities for independent pricing of non-generic interest rate swap portfolios.― To define 3-month Forward Rates, a “blended” LIBOR discount curve is “bootstrapped” from Spot Rates, a strip of Eurodollar Futures, and Swap Rates to keep a balance between “arbitrage-freeness” and smoothness.• Enhance returns and “duration matching” through pricing and structuring Constant Maturity Swap (CMS) to invest further up the yield curve. • Structure and price Total Return Swaps to convert Coupon-Bearing Corporate Bonds into Synthetic Zero-Coupon Bonds to lengthen the portfolio durations and enhance the duration matching with the liability. • Design and price a Cross-Currency Asset Package to swap Euro-denominated assets into synthetic British Pound-denominated assets to enhance the portfolio diversification.• Design, price, and execute customized Spread-Lock swaps to capture the “richness” of credit spread of undervalued corporate bonds.

• Develop quantitative risk management tools to analyze the intra-day volatility of commodity futures and options. The results are instrumental in helping senior management to define firm-wide Risk Tolerance, and eventually give rise to the Risk Limits for the daily trading activities.• Launch VBA/C++-based real-time risk management system to implement risk limit policies and to monitor individual trader’s risk limit, entire trading desks’ aggregate positions, and portfolio margin requirement.• Guide 5 energy traders to brainstorm, backtest, and implement arbitrage strategies to trade 6 cross-exchange Crude/Heating Oil/Gas Oil energy spreads, resulting in consistent monthly returns.― The strategy calculate inter-product spreads and spread volatility to generate mean-reverting trading signals at sequentially higher standard deviations. The 6 cross-exchange energy spreads are composed from NYMEX Light Sweet Crude, ICE Brent Crude, NYMEX Heating Oil, and ICE GasOil futures contract.• Forge the infrastructure for electricity traders to automate the discretionary trading of Heat Rate. ― VBA-based interfaces calculate the dollar-neutral hedging ratio, monitoring the position of ICE PJM Western Hub Electricity swap contract, and automatically hedging positions on ICE Henry Hub Natural Gas swap and NYMEX mini-Natural Gas futures contracts.• Design VBA user-defined functions to backtest option trading strategies utilizing firm’s proprietary commodity index as signals to sell the implied volatility of energy, grain, and “soft” commodity option contracts. • Develop and install C++ algorithms into Trading Technology’s electronic trading platform to manage the ratio of “message/trade” of all spread trading, resulting in compliance with exchange’s messaging policy.• Develop real-time VBA-based risk management applications to automate daily reconciliation process, ensuring accurate trade captures and timely process of all energy trades.

• Guide 3 team members in research, formulation, and implementation of equity market-neutral trading strategy: • Establish VBA-based trading infrastructures to integrate Bloomberg API and REDIPlus Active-X API with company’s proprietary order management system to optimize trade executions with minimum slippage and to automate the updates of stock-lists available for short-sale with prime brokers.• Forge key risk management tools to integrate REDIPlus post-trade reporting functions with company’s back-office operations systems to process daily trades, coordinate position reconciliation, and monitor margin requirement in order to be in compliance with internal and external regulatory requirements.• Develop Arbitrage Pricing Theory-based applications to decompose hedge fund managers’ reported returns into a set of qualitative risk factors (portfolio optionality, portfolio diversification, position liquidity, independent pricing, the level of market exposure) and to compute the marginal contribution of each risk factor to the portfolio risk. Such risk decompositions enable the setting of risk exposures on each factor.

• Develop Binomial-Tree algorithms in VBA codes to independent-price Option-Adjusted Spread (OAS), Effective Duration, and Effective Convexity of Callable Corporate Bonds. Subsequently, the algorithms were modified to price the Embedded Call Options of Convertible Bonds and were used by traders to assist their trading / hedging decisions.

Master Of Science, Financial Markets & Trading

Graduated with Academic Distinction

Master Of Science, Civil Engineering

Bachelor Of Engineering, Civil Engineering