Yating (Caroline) Xu

(617)850-5187 · yatingxu@bu.edu ·www.linkedin.com/in/yatingxu

SUMMARY Mathematical Finance graduate student with exceptional skills in data and quantitative analysis, full time

experience in financial industry looking for a quantitative position January 2016

EDUCATION Boston University

Shanghai Jiaotong University

M.S. in Mathematical Finance

EXPERIENCE Financial Analyst, Federal Home Loan Bank of Boston (Internship)

expected 1/2016

Relevant Coursework: Credit Risk, Fixed Income, Monte Carlo Simulation, Risk Management, VaR,

Computational Methods of Math Finance, Statistical Analysis, Stochastic Calculus

B.S. in Economics

2012

06/2015-Present

  Ÿ Revised SQL functions to realize the automation of multiple parameters such as capital ratios, three

month Libor rate and funds transfer pricing (FTP) rate; developed stored procedure for swap calculation

  Ÿ Streamlined SQL codes to redesign the Net Interest Margin (NIM) reports to incorporate historical series

and business trend analyses; produced NIM reports at multiple levels with excel and Power Pivot

  Ÿ Assisted with the testing and model validation; manipulated large data sets and improved data quality

  Ÿ Updated and improved documentation on NIM reports, including methodology, requirements, and

process flows of Bullet, Amortizing, Floating and Option advances

  Ÿ Reconciled the input and output of the NIM reports to the General Ledger and other internal database

Black Scholes Option Pricing C++ Project，Boston University

2015

  Ÿ Created a Monte-Carlo pricing engine to price a plain-vanilla call and put option using realizations based

on geometric Brownian motion and to check the put-call parity

  Ÿ Coded to calculate the price of a call and put option with the Black Scholes formula and to get the option

Greeks (delta, gamma, theta, vega, and rho)

Machine Learning Project on Quantitative Stock Market Prediction Strategies (Matlab)

2014

  Ÿ Implemented momentum trading and other monthly trading strategies according to technical indicators

based on S&P1500 companies’ monthly data

  Ÿ Designed random forest model to predict monthly stock returns and backtested the performance over two

decades; constructed dynamic investment portfolio

Bayesian Regression and Forecasting US GDP Project (Statistics & R), Boston University

2014

  Ÿ Used R programming to plot the ACF and PACF of real GDP growth rate

  Ÿ Estimated AR(2) models both by classical method and by Bayesian regression

  Ÿ Make 20000 draws from the posterior distribution ,computed the determinant of the characteristic

function and the posterior probability of existence of a cycle

  Ÿ Simulated the predictive distribution by Monte Carlo algorithm and compared the forecasting results with

the time series of real data

Quantitative Analyst, Lombard Risk, Shanghai, China

12/2013-08/2014

  Ÿ Calibrated and updated Risk models (PD, LGD and EAD) needed for estimation of economic capital

required under the Basel Accord and regulations of European Central Bank

  Ÿ Conducted stress testing and backtesting to assess the stability and robustness of the model

  Ÿ Performed sums, validation and cross-validations rules and configured transmission

  Ÿ Reviewed the code documentation to ensure the proper model implementation and solved defects

  Ÿ Analyzed financial statements of active investments and performed competitive analysis of the risks and

suitability of the third party solution with a combination of R, VBA and SQL

  Ÿ Delivered model outputs to bank’s internal users for model validation and capital determination

Private Banking Consultant, China Construction Bank, Shanghai, China

  Ÿ Recommended fund investment to clients based on analysis such as VaR method

Financial Control Specialist, Zwilling j.a.henckels, Shanghai, China (Internship)

  Ÿ Developed expertise using SAP with regards both to maintenance and emergency measures

  Ÿ Completed quarterly and annual financial statements and created budget for each department

SKILLS

CFA Level 2 Candidate, SAS, R, SQL, Matlab, Statistical Modeling, C++, Bloomberg, MS Office Suite,

Portfolio Development, Risk Management, Asset Management, and Investment Research

LANGUAGES English, Chinese

07/2012-09/2013

  Ÿ Constructed portfolios and consulted clients regarding investment and managing risk, including insurance,

fixed incomes ,trust funds, gold investment and other financial products, and allocation to various

investment vehicles to maximize profits and minimize risks

05-11/2011