Wei Yuan Email and Phone Number

Established an end-to-end management platform for OTC derivative Sales & Trading business from ground up. Supports comprehensive functions including bookkeeping, derivative pricing, Greeks calculation, PnL calculation & attribution. Dynamic risk exposure modeling (vanna, delta ladder), scenario analysis,basis risk term structures, systematically perceiving and managing nonlinear market risks. Self-developped valuation library are based on QuantLib covers all OTC trading structures, including vanilla, binary, barrier, range accrual auto-callable, and snowballs.

• Risk and valuation analysis for trading desk incl. PCA Ridge Regression, PnL projection using PCA, SOFR curve construction testing, ERIS future basis, Histo PnL attribution recap in PowerBI and Python.• Attribute trading income by risk factor (Rate Delta/Vega, Xccy basis, CIM basis, OIS basis, Swap Sprd, FutFra Convexity); Calculate missing effect from Pricer (LCHCME spread, Future not in Curve stripping,Index/ETF Premium/Discount, SwapFuture Basis)• Calculate the market risk consumption (VaR/Stress, Delta, Gamma, Vega, Cross Gamma) of FI Desk(Rates Exotic, LT Swap, Fixed Income Index & ETF, US Primary Dealer, US repo, Funding Center)• Certify the migration of pricing engine on US repo desk, US funding desk, Long term swap desk.

• Built Excel API constructing Credit Quality indices (CQ) from SP internal DB using VBA Macro (User-defined function, Procedures, Userform and Control)• Conducted analysis between CQ and macro factors to find their relationship (Lag and rolling Period)• Constructed multi-regression model using PCA Regression and Newey-West Robust estimation (Matlab)• Prepared the tech notes and Presentation about the key takeaways and the Quantitative Methods