Download xin zhang education experience projects

XIN ZHANG
1 River Court Newport, Apt 509 ▪ Jersey City, NJ 07310 ▪ (646) 740-4991 ▪ [email protected]
EDUCATION
NEW YORK UNIVERSITY
The Courant Institute of Mathematical Sciences
MS in Mathematics in Finance (expected – January 2016) GPA: 3.67/4.00
New York, NY
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Finance: CAPM and Black-litterman model, Black-Scholes model, short rate models, Libor market model,
securitization product, risk management, stress testing, Value-at-Risk, econometrics, time series
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Mathematics & Computing: Monte Carlo simulation, PCA and SVD analysis, yield curve interpolation, stochastic
calculus, object orientation programming, change of numeraire
PEKING UNIVERSITY
BS in Physics (September 2010- July 2014) GPA: 3.60/4.00 Rank: 15%
Beijing, China
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Relevant Courses: probability, statistics, C programming and data structures, ODE, signal processing
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Award: NAOC award, National Science Talent Research Fund, Wenxin award
EXPERIENCE
CHINA INTERNATIONAL CAPITAL COOPERATION (CICC)
Private Equity Summer Intern (July 2014- August 2014)
Beijing, China
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Assisted in constructing private equity portfolios in energy and real estate sectors. Researched private equity
confidential information memorandum to help selecting potential investment opportunities. Calculated the
covariance matrix of different investment assets to optimize portfolios
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Analyzed key statistics of portfolios and collected potential investors’ data to support structuring investment
products. Reported market condition and regulator policies to detect potential risk
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Participated in enterprise value estimation for the privatization of Sinopec sales departments. Based on the annual
report and the research paper from CICC, estimated key parameters for pricing models
CHINA CITIC BANK
Manager Assistant (June 2014)
Beijing, China
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Analyzed capital expenditure, profitability, operating efficiency and cash flow of clients. Within the framework
of CITIC Bank credit risk model, rated cooperate credit quality
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Learned basic FX trades, fundamental and technical analysis. Back tested FX trading strategy and signal with
historical data
KAVLI INSTITUTE FOR ASTRONOMY AND ASTROPHYSICS
Research Assistant (May 2012- May 2014)
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Worked on numerical simulation of star systems with average integration HILL code
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Carried out systemic simulation to test parameters effects and robustness of the system
Beijing, China
PROJECTS
SCIENTIFIC COMPUTING IN FINANCE PROJECT
New York, NY
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Built database reader for fast retrieval of data for backtesting purposes. Constructed stock portfolios with CAPM,
Fama-French three factor model, and Black-Litterman model
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Optimized the efficient frontier and Sharpe ratio of portfolios. Utilized PCA and Monte Carlo simulation to
calculate P&L of portfolios. Estimated Value at Risk of portfolios
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Built yield curve with interest rate products with spline interpolation. Priced swap, swaptions with yield curve,
and evaluated the PV01. Calculated corresponding hedging notional, and optimized hedging efficiency
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Used Monte Carlo simulation to price American option and estimated early exercise boundary with high accuracy
COMPUTER SKILLS/OTHER
Programming & Software: C (1y), MATLAB (3y), R (1y), Java (6 months), Python (2 months), Latex (3y), MS Office
(5y)
Languages: Mandarin (Native), English (Fluent), French (Basic)
Interests: Soccer, History and Sherlock Holmes Books, Chess