Tony Wu Email & Phone Number

San Francisco, CA

San Francisco, CA

• Designed, led discussions on and documented API, data model and back-end architecture in various Moody's Enterprise Risk Solutions (ERS) products; developed production code, internal functional testing code and.
• Developed the ImpairmentCalc product for banks to meet CECL and/or IFRS9 requirements and manage credit risks. Implemented Cash Flow, Through the Cycle to Point in Time PD, Stressed PD / LGD, Impaired Stage and.
• Customized ImpairmentCalc internal functional testing code independently under urgent request without analysts' testing and delivered the executable to obtain Bank of America's contract on full production version. Bank.
• Contributed to the development of Risk Confidence (RCo, a.k.a. Advanced Asset Liability Management, AALM) with financial instruments, such as Loan/Mortgage, Deposit, Bond, LOC, Equity, Derivatives, etc. and produces.
• Prototyped Non-Maturing Deposit Modeling (in Matlab/mex/C++) to bench mark RCo/AALM.
• Prototyped CMM (Commercial Mortgage Metrics, in Matlab) to bench mark the production code.

San Francisco, CA

• As a front office "Quant", had multiple roles as Researcher, Developer, Analyst, and Internal Consultant.
• Received "Energy Procurement Reward and Recognition" 3X for research of "Stochastic Load Model", "Electric Gas Asset Strategy" and "Hedging, Electric Fuel Report and Gas Supply Plan"
• Modeled Stochastic Hourly Electricity Demand that the company is exposed to. Used various statistical and time series models such as linear regression, PCA, mean reverting process, seasonal ARIMA. Wrote white paper and.
• Created a Stochastic Electricity Spot Price Model to simulate the company's stochastic electricity price exposure. Wrote white paper and conducted the research in Matlab.
• Architecture designed, developed (in SQL server/C# GUI/Fortran DLL) and utilized the Procurement Portfolio Planner (P^3), a multi-module, multi-factor, multi-language, multi-year horizon, hourly and daily granularity.
• Organized monthly Electric Fuel Planning studies and delivered reports. Presented the EFP results on monthly business meeting to traders.

Livermore, CA

• Performed research and development work.
• To address the economic impact of energy system transformation under various policies and uncertain futures, designed a sequence of FORTRAN/C++/GAMS codes to automatically execute U.S. MARKAL, a third party energy.
• Researched risk and decision analysis approaches to address DOE Fuel Cell Program R&D portfolio optimization under stochastic and dynamic R&D outcomes.
• Modeled the future California energy system with spatial and temporal electricity and hydrogen demands and conventional and renewable energy supplies. Participated in research on the impact of temporal resolution on.

Ph.D., Operations Research And Financial Engineering

M.S., Civil And Environmental Engineering / Transportation Engineering

B.E. With Honors, Thermal Science And Energy Engineering / Computational Fluid Dynamics