Yu Cui Email & Phone Number

北京

北京 朝阳区

Beijing City, China

Participated in particular research for CCB.Subjects including EURO-banking industry risk analysis,Effects of Brexit,Exchange rate expectation.Using Bloomberg,Thomson one and other 3rd party data for study.Participated in Internal Model Approach (IMA) for market risk&counterparty risk(CCR) management projects of commercial banks. Responsible for:-Making gap analysis through interviews and documents.- Compose market risk&CCR management policies and procedures.(Under Basel III and CBRC regulations related to market risk )-Compose requirements specification of the market risk&CCR mangement IT system.Including functions,detailed calculation methods.-Build models like present value, theoretical profit and loss,actual profit and loss,Value at Risk,Stress-test,backtesting,sensitivity of bond/irs/fx/option etc.- User acceptance test.Help the clients to test whether the IT system meet the requirement.-Co-develop.Help the development team with the system construction,mainly on explanation of requirements and modify calculation logic.-Do research about CBRC regulations and macro-economic and financial markets. Participated in the valuation of a variety of financial derivatives. Be proficient in choosing and using related pricing models and valuation methods, such as Monte Carlo Simulation, Black-Scholes-Merton Model and Binomial Tree Model. Covered products include fx option, forward, warrants, employee stock option along with equity allocation.Use Bloomberg and Wind to get market data and information.

硕士, Mpacc

学士, Economy