Simon Chiu Email & Phone Number

Sydney, NSW, AU

Improve model risk governance through revalidation of existing models and development of Model Register.Revalidation of existing ASXCLF and ASXCL models according to RBA Financial Services Standards requirements.Creating replication models in C# and model monitoring with NUnit tests and GOCD automation.Working with Clearing Risk Policy team to ensure.

Sydney, NSW, AU

Remediating and uplifting market risk system to ensure accurate calculation of APS 116 capital.Developing a model methodology for calculating Westpac's Risks Not In VaR capital add-on for APS 116. This centres around identifying missing risk factors in products in the market risk system and quantifying the amount of unaccounted risk by doing constructing a.

Sydney, NSW, AU

Provide specialist advise to major Australian banks on APS 116 (market risk) regulations. Engaging with supervisory team and external stakeholders to keep up to date with new or ongoing regulatory project developments. Produced fortnightly dashboard and commentary on market volatility, price and rate movements in global markets. Provided analysis on.

Sydney, New South Wales, AU

Developed Excel/VBA tools using trader PnLs to apply incremental VaR model for increasing trader limits on previously traded spreads.Conduct periodic backtests based on recent trader positions to monitor for potential VaR breaches.Designed stress testing scenarios through the use of reverse stress tests and historical event analysis. The results of these.

Sydney, New South Wales, AU

Specification, design and development of applications for risk management and business processes. - Developed JAVA(QuickFIX/J) Risk GUI Application for monitoring algorithmic trades conducted through ASX24 FIX protocol- Increase efficiency by converting daily manual business procedures into automated scripts. C#, Python, Excel/VBA- Conversion of trader.

Forrest, ACT, AU

- Managed the process from setup to implementation of private managed Cloud service- Application development with Java and SQL.- Provide technical support and advice on data modeling software.- Liaise with external clients on IT system requirements for use of data modeling software (including MSSQL server setup).

Sydney, NSW, AU

- Research, development, implementation and maintenance of various trading strategies- Programming algorithms using C++, C# and VBA/Excel through Trading Technologies API.- Analysis of Bloomberg, Reuters and Dow Jones market data for research of new strategies and identifying market trends- Mentor to Junior Traders.By branching into algorithmic trading I.

San Francisco, California, US

Assistant engineer responsible for hardware related design, development and support of prototype EEG acquisition system.- Designing, building, testing of headset prototype.- Development and management of EEG sensor project.- PCB design with Altium

Sydney, New South Wales (NSW), AU

Extended design of electronic air-sampling instrumentation unit as part of a joint CSIRO project examining the Physical, Chemical and Radiative properties of Aerosol Particles in the Australian Climate.

Master’S Degree, Quantitative Finance

Bachelor Of Engineering (Beng)/ Bachelor Of Science (Bsc), Electrical Engineering/ Physics