Ricky He Email and Phone Number

Conducted and analyzed CVA/KVA impact runs requested from the CVA/KVA trading desk and Quantitative Modeling team, including the Monthly UVO trades carveout, the Quarterly Convergence test, ad-hoc trades clearing/novation, etcDesigned and Implemented an automatic platform to reconciliate daily KVA TP and Sales Client Values files to monitor the trades and allocate to KVA optimization and management books correspondingly Leveraged Excel VBA, SQL, and Python to assist CVA/KVA trading and hedging strategy decision making

Leveraged Excel VBA and SQL to optimize the data processing and execution for better memory performance, and consolidated internal credit reporting system with Portfolio Variance Analysis system on integrity, robustness and flexibilityAnalyzed credit wholesale RWA including corporate/bank loans, OTC/Listed/Repo-style derivatives and securitization via modeling and calculating CRW (PD, LGD, M) and EAD by means of VaR/CVaR/Stress VaR, collateral haircut, and other Internal Model Methodologies based on Advanced Basel IIIConducted appropriate implementation of the new capital calculation and timely and accurate reporting to regulators based on Advanced Basel III

Leveraged Excel VBA to automate US large cap equity index options pricing based on Black-Scholes model and saved the processing time by 30%Analyzed SPX index option price jumps in response to equity index weekly/monthly large regular return moves by calculating 10/20 basis delta to hedge market risk Applied delta hedging strategy for trading SPX index options based on VIX price and Bollinger bandsConducted a back-testing and reported P&L statements on bi-weekly/monthly Puts Bull Spread strategy