Quantitative Associate, Risk Analytics And Modeling
CurrentI am responsible for risk model development and testing, and cooperate with different teams on model implementation and maintenance.Please find more detailed information below-------------------------------------------------------------------------------------------------------------------Leveraged Finance model- modeled and evaluated the approaches to calibrate the risk of high yield loan/bond, including weighted average exposure and surcharge calculation- built up the implementation, and presented the model to the debt capital markets team6-Factor Asset Correlation model- performed econometric analysis in R, including missing-data handling, multivariate regression analysis, and serial correlation mitigation. Model outputs are used to simulate loan portfolio risk for CCARSecurities Financing Transactions (SFTs) model- studied stock returns in the highly stressed economies using Python, including statistical analysis, logistic regressionDiversification model- analyzed 100-year data of 7 risk types to estimate tail correlation, and portfolio VaR aggregation and allocation- Used Python to develop object-oriented model implementation automationCalculated risk factor stress scenarios, including interest rates, credit spread, and equity dividendsConducted effective troubleshooting upon the business/IT requestTechnique used: Python, R, Linux
