Wenda Xue Email & Phone Number

中国 北京市

London, United Kingdom

Building strategist team for global security lending business; Reports directly to global head of GMFF trading;Built up global security lending pnl model and spread analysis that explains daily run rate pnl, spreads and balances, helps the desk to manage seclending books;Set up a daily collateral management process that monitors collateral exposure and mitigates overcollateralizationDeveloped Funding Projection tool that effectively predicts funding requirements for Yield business over dividend season

Modeled scrip dividend tradable as Asian performance option with FX compo using Monte Carlo methods; Developed price/trade tests, pnl/risk reports and implemented hedging strategies and trade/pnl flow processes;Modeled FX risk and developed hedging strategy for security lending business with FX spot/forward and OIS trades;Developed security lending inventory management platform with auto-return execution using linear optimization programming;Modeled counterpart risk using empirical VAR and stress test approaches highlighting exposure to lenders, liquidation risk and CDS hedging costs;Developed security lending pricing model and platform across asset classesDesigned and developed pnl scenario tool that helped on decision-making during 2008 crisisDeveloped stock loan tradable and pnl model

Lectured advanced mathematics to 100+ MSc students for 2 weeks in the Induction Program;Tutored 100+ MSc students on C++ and Excel

Phd (Scholarship From City University Actuarial Science)

Thesis title: "Fair Valuation of Life Liabilities by Option Pricing" Courses: Stochastic Calculus, Stochastic Differential Equations.

Post-Graduate Diploma, Actuarial Management

Msc In Actuarial Science, Distinction

Bachelor, Economics, First Class