Yi S.
Quantitative Analyst @ Citi
About
Mathematics Ph.D. in Analytics. Deep understanding of pricing models including exotics with strength in Interest Rates and Equity. Market knowledge of IR, EQ, FX and credit products. Strong coding skill in c++ and Python and R, including frequently used data structures/algorithms. Outstanding communication skills.
United States
New York
Financial Services
Microsoft Excel, Research, Python, Strategic Planning, Mathematics
Experience
Quantitative Analyst
Citi
New York City Metropolitan Area
Counterparty Margin Model Main responsibilities include build model from scratch, conducting model performance tests, Greek analysis, benchmarking, stress testing, etc. Leading a SIMM workstream: including SIMM sensitivities for IR/FX/Equity/Credit products, P&L generation, backtesting, benchmarking, margin reconciliation, etc. Maintain and change SIMM engine, and developing data-proxy and risk-not-in-SIMM methodologies Coordinating across teams for SIMM framework design, implementation, monitoring, and regulator exams Initial margin for Swaption model A series of sensitivity based VaR models
Quantitative Analyst
Citi
Greater New York City Area
Counterparty Credit Risk Model Validation Rates simulation models Commodity future simulation and pricing models
Associate instructor
Indiana University Bloomington
Bloomington, Indiana Area
Education
Indiana University Bloomington
Mathematics
Yi S.'s Contact Information
Phone
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