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 prototype code; enhanced existing algorithms; validated models; mentored and supported quantitative financial analysts for validating the results; mentored front-end software engineers to integrate with the back-end production code; supported various application groups; supported clients' issues.• 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 Expected Credit Loss Allowance components in C++ DLL; Offered primitive C, Java/JNI and VBA interfaces to different front-end applications. • 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 of America commented that the executable was very stable and efficient.• 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 valuations, Greeks and other statistics. Epic Leader on various projects, such as Loan Prepayment, Deposit, Repo, Selloff, FTP, Deferment, etc. Wrote in C++ DLL; offered Java/JNI interfaces for the front-end application and mex interface for Matlab prototype.• 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.• Created a R script and a C wrapped API to call existing RiskCalc C++ DLL for easy research.Contributed to the development of Fermat Valuation Engine (in C++ DLL.)

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 conducted the research in SAS.• 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, efficient and flexible Monte Carlo simulation tool for the company's energy portfolio analysis and risk management. Used P^3 for various studies to present to upper management and for preparing various regulatory reports. P^3 helped the company to pre-determine the customer electricity fixed prices one year ahead of time while facing both the volatile electricity spot prices and real time customer random electricity demands. Delivered prompt and client satisfied analysis and acquired their trust. Internal clients switched from commercial software @ENERGY/Power Generation (By Financial Engineering Associates, Inc.) to P^3. • 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 economic system model.• 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 energy system modeling results.

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