Meng(Sirius) Xu, FRM

• Collected and researched the Chinese CLO Deals data principle and interest rate from website and Bloomberg
• Analyzed the different risk factors and credit enhancement for Expect Loss based on the Structured waterfall tranches and distinct external Credit rating
• Established the Asset and Liability Cash Flow model for analysis the performance of the ABS and developed Monte Carlo Simulation to simulate different default rate scenarios for actual yield by Excel including VBA, SQL… Show more

• Collected and researched the Chinese CLO Deals data principle and interest rate from website and Bloomberg
• Analyzed the different risk factors and credit enhancement for Expect Loss based on the Structured waterfall tranches and distinct external Credit rating
• Established the Asset and Liability Cash Flow model for analysis the performance of the ABS and developed Monte Carlo Simulation to simulate different default rate scenarios for actual yield by Excel including VBA, SQL, VLookup function and Data table
• Validated the effectiveness of Cash Flow and Credit Risk Model, Modified and improved the Current Cash Flow model and Monte Carlo Simulation Coding to fit the exact ABS products depend on the floating rate, number of tranches and payment order
• Compared the real yield (IRR) with the expect coupon rate to measure the performance of the the ABS Securities and Forecast the future Credit Rating
• Measured the Credit Spread, CVA of the ABS securities, Valued the pricing of Structure Finance Products
• Drafted the Credit Risk Reporting by using Excel Pivot Table and Charts to our clients
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• Established and validated models (Tree Based and Logistic Regression) using SAS enterprise miner and JMP
• Integrated over 7-year period historical data with 9 variables and partitioned data (training50%; validation40%; test10%)
• Modified models by comparing results across 5 models, and derived the most influential factors for life Insurance Lapses
• Identified the significant factors: Age, mode of payment, smoking status of the policy holder, and death benefit option

• Devised VBA codes for the formulas and functions used for the Stock Option Pricing, Expected Loss, and Regression
• Designed module to simulate paths and calculate VaR using HS, EWMA, GARCH, and Monte Carlo simulation
• Supervised the building and the deployment of Code of Credit risk management models (PD, EAD, and LGD)

• Optimized portfolio asset candidates allocation by researching different funds in Bloomberg and other financial data websites using Financial Optimization Models
• Designed and developed portfolio by adding 3 extra assets to dampen volatility and increase return for investors
• Calculated the important parameters of new developed portfolio, such as mean, volatility, skewness, and kurtosis
• Improved the Ultra Conservative Developed Portfolio for 32.342%, the High Conservative… Show more

• Optimized portfolio asset candidates allocation by researching different funds in Bloomberg and other financial data websites using Financial Optimization Models
• Designed and developed portfolio by adding 3 extra assets to dampen volatility and increase return for investors
• Calculated the important parameters of new developed portfolio, such as mean, volatility, skewness, and kurtosis
• Improved the Ultra Conservative Developed Portfolio for 32.342%, the High Conservative Developed Portfolio for 71.518%, the Moderate Conservative Developed Portfolio for 155.353%

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• Collected some IT big companies data from one year before the Bubble start until one year after the end
• Calculated the VaR for all data by using different models, such as HS, EWMA, GARCH, then back testing and selected the best
• Generated the figures of the results we got from the models
• Analyzed the crisis about the cause, symbol of start and end, degree and corresponding treatments from the charts we got