Dawei Li, FRM

Quantitative Analyst - Funds Management - MSR Hedging Analytics at BB&T
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Contact Information
us****@****om
(386) 825-5501
Location
Charlotte, North Carolina, United States, US
Languages
  • English -
  • Chinese (Simplified) -
Skills

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Credentials

  • Certified Financial Risk Manager (FRM)
    GARP FRM Program
    Aug, 2019
    - Oct, 2024
  • SAS Certified Statistical Business Analyst Using SAS 9: Regression and Modeling
    SAS
    Mar, 2016
    - Oct, 2024
  • SAS Certified Advanced Programmer for SAS 9
    SAS
    Oct, 2015
    - Oct, 2024

Experience

  • BB&T
    • United States
    • Financial Services
    • 700 & Above Employee
    • Quantitative Analyst - Funds Management - MSR Hedging Analytics
      • Mar 2017 - Present

      Designed TBA Tools for Hedging Desk to analyze DV01, Notional and P&Ls of hedging portfolio for intraday trading activities.Redesigned tools for capturing market move such as LIBOR, OIS and Swap rates during market close. Conducted research on and documented pricing of interest rate (IR) derivatives such as Caps and Floors, Bermudan callable swaps using Summit.Enhanced input verification process and Primary Secondary Spread report process using VBA. Designed TBA Tools for Hedging Desk to analyze DV01, Notional and P&Ls of hedging portfolio for intraday trading activities.Redesigned tools for capturing market move such as LIBOR, OIS and Swap rates during market close. Conducted research on and documented pricing of interest rate (IR) derivatives such as Caps and Floors, Bermudan callable swaps using Summit.Enhanced input verification process and Primary Secondary Spread report process using VBA.

  • Wells Fargo
    • United States
    • Financial Services
    • 700 & Above Employee
    • Quantitative Analytics Consultant 1
      • Jul 2016 - Feb 2017

      Counterparty Credit Risk - PFE SFT BacktestingUsing Python conducting research on CM and AD statistics with overlapping time horizon under exponential Vasicek model for market factor model backtesting.Conducting SFT related risk driver and securities backtesting.Monitoring, analyzing and documenting over-conservative simulations in CCR market factor models backtesting covering IR/FX/Equities/Credit/Commodities for CCR Governance, Measurement, Reporting and Oversight.Developed technical report and presentation for Counterparty Model Risk Council’s Q4 meeting.Market Risk - Structured Product Risk Driver EvaluationLed the efforts of calculating P&Ls using Delta and Gamma methods and conducting impact test of replacing volatile data series with proxy using SAS and excel for General VaRs and RWA charge.Documentation of Risk Analytics on CMBS risk driver evaluation and submitted to RFC for approval of risk driver replacement.Performed backtesting on vendor’s Agency RMBS and NA RMBS model updating.

Education

  • University of North Carolina at Charlotte
    Master of Science (M.S.), Mathematical Finance
    2014 - 2015
  • Hohai University, Changzhou Campus
    Bachelor’s Degree, Industrial and Product Design
    2009 - 2013

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