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Federal Housing Administration, Washington,
DC
Oct 2013-May 2014
Mortgage Risk Modeler (Part Time)
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Conducted empirical analysis of expected and stress
losses on 27 million FHA single-family home loan data.
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Conducted extensive data manipulation assignments, including
gathering, inspecting, cleaning, and transforming data for data quality and
modeling purposes by using advanced Excel and SQL skills.
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Based on comprehensive understanding of business
requirements and sound economic theories, developed product-level default
frequency and cash flow models in a competing risk framework using SAS and
VBA.
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Applied various quantitative and statistical techniques
on model enhancements, such as logistic regression and multinomial model,
stochastic process and Monte Carlo simulation, time series analysis and
ARMA/GARCH model, and termination/transition model.
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Conducted model specification on borrower risk
attributes, loan characteristics and economic indicators to validate and
test the models to ensure its accuracy for projecting FHA default rates and
cash flows.
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Periodically performed stress testing, reviewed
forecasting and back-testing results, analyzed variances, checked model
assumptions, and reported to management after model implementation.
ICMA-RC, Washington,
DC
Jan 2014-Mar
2014
Investment Data Analyst (Intern)
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Supported the management of various ICMA-RC investment
product sets, assisting with individual fund analysis including due
diligence meetings, quantitative and qualitative evaluation work, and
participation in decision-making regarding selection and retention of
funds.
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Built fundamental factor investment models and conducted
model specification by using MATLAB to monitor funding status, and set up
asset class allocation and security selection criteria.
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Assisted in special projects, supporting the management
of the Vantagepoint Funds as needed.
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Reviewed and validated investment related information on
ICMA-RC’s website and outside vendor’s systems such as Morningstar Direct
and Bloomberg.
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