Bozhou (Andy) Jiang, FRM

● Validated prepayment model and derivatives pricing models (PolyPath) for a customer • Reconciled the model settings and conducted backtesting analysis and sensitivity analysis by applying various loan level scenarios to the base case • Independently built a dual curve model and IR option pricing models to benchmark customer's valuation of swap, cap/floor and swaption positions • Structured cohorted Mortgage Servicing Right (MSR) data, replicated the calculation of MSR fee, MSR ending balance for sample cohorts in base scenario and rate-up scenario ● Performed benchmarking analysis for logit and scorecard credit rating models • Structured the FFIEC call report data, successfully updated the VBA code of in-house credit rating models, boosting 80% time efficiency • Liaised with customers (GSEs) to exchange opinions and work files, conducted Cap analysis and developed VBA to automate the standard summary reports generating ● Validated retained earning model • Split investment portfolios into various rating buckets, calculated concentrations (HHI) and WAMs for each bucket, and adopt in-house RAROC model to calculate Capital Loss and Return on Capital (ROC) • Adopted different LGD and confidence-level scenarios, generated and formatted the final reports ● Validated Insurance company credit rating model • Structured and grouped NAIC data, adopted in-house credit rating models to calculate ratings for each company, and filtered out the outliers (Fraud) • Calculated the Cap ratios for our models and client’s model, and generated the summary report

● Monthly Reporting and Updating • Created the monthly reconciliation report that tracks the monthly performance of 200+ ABS, RMBS securitizations • Extracted and validated a securitization’s financial information from trustee reports to update the dv01 website ● Fintech Startup Responsibilities • Provide support for adhoc client requests from hedge funds, banks, and originators • Collaborate with quantitative engineers and solutions engineers on process improvement projects ● Data Tool Development • Developed VBA tool kit to automate and improve the reporting process • Developed R script to tie out loan level data and generate dv01 reports

● Yield Curve (Cubic Spline) Generator: • Built a regression model on bond prices, and solved for the regression coefficients, calculated the fitted prices and convert it to discount curve and yield curve ● IR option pricing model: Implemented a stochastic volatility model (SABR) for IR option pricing ● VaR Calculation: • Filtered Historical Simulation: Fitted GARCH (1,1) model to predict the next day volatility, calculated the return using the vol, and used the percentile of the returns within the chosen window • Monte Carlo Simulation: Generated portfolio return paths following the historical distribution, used the percentile of simulated returns as the VaR

● Developed portfolio management demo by using multithreading python web crawler (urllib, Beautifulsoup) and data API (quandl), cleaned (Pandas Numpy) and stored the data in the database (MySQL, MongoDB) ● Embedded Parametric VaR model and GARCH model in Flask Frame, set up the daily routine to update the database, deployed the Demo to the Linux server using bash code in console

● Designed VBA for real-time data analysis and portfolio management in various trading cases: Algorithm trading, Commodities, Options, Bonds, ETF etc. ● Successfully developed the Beta-hedge model and the mispricing strategy to trade the equities and index, ranked top 10 among 52 teams

● Co-founded the association and organized the simulated trading competition which had the largest number of participants and the biggest off-campus sponsorship in the history of the university ● Planned and promoted lectures on investment management and career with guest speakers of senior managers from investment banks

● Identified client’s issues through phone calls, resolved product or service problems by clarifying the customer's complaint by determining the cause of the problem; selecting and explaining the best solution to solve the problem; expediting correction or adjustment; following up to ensure resolution. and made professional asset allocation recommendations to individual clients according to their risk tolerance and willingness ● Suggested improvement to established accountants by drafting documents transcribing information and researching questions, implemented improvements for efficiency, transparency, accuracy and participated in team meetings to understand current needs and contribute creative ideas

Courses: Financial Risk Modeling, ERM, Fixed Income Derivatives, Strategies & Risk Management, Equity Market, Portfolio Management, Time Series Analysis, Regression Analysis, Programming (Python, VBA, and C#)

● Courses: Adv. Calculus, Operational Research, Linear Algebra, Accounting, Probability Theory, Statistics, Forecasting Method, Logistics Software and Algorithm, Programming (C++ & VB)