Experience

• 

  Cortland Credit Group Inc.

  • Canada
  • Investment Management
  • 1 - 100 Employee

  • Quantitative Analyst, Portfolio Management

    • Aug 2020 - Present

  • Portfolio Management Analyst/Programmer Intern

    • Jan 2020 - Jul 2020

    • Constructed comparable analysis model for any input public traded callable corporation bond to justify whether the bond was fair valued by market and predicted yield rate change in short future using Python and BQL. The comparable analysis result was identical to result from Blomberg Comparable Analysis Function.• Utilized Nelson–Siegel–Svensson(NSS) model to construct yield curve for any input government bond.• Utilized KDE(Kernel Density Estimation) model to estimate repayment time in days with a given probability basing on limited available historical data by Python.• Utilized Xgboost model to do obligors default risk management by Python and acquired 96.45% prediction accurate rate in back-testing.• Generated User Interface for all the projects listed above and converted them into user-friendly Windows executive file to remove limitation when deploying in Windows system computers without the programming language needed.• Working on optional bond validation model construction by Ho-Lee Model to calculated bonds’ fair value from well estimated discounted rate and volatility.

• 

  Shanghai Pudong Development Bank

  • China

  • Financial Advisor Assistant Intern

    • Jan 2019 - Jun 2019
    • China

    Developed models to measure and predict the probability of default, loss given default, and exposure at default and supported the loan approval process.Completed a 20,000 words credit report including financial analysis, industry analysis, and debt analysis for a 20 million RMB loan application from Ningxia Yuji Industrial Co., Ltd.Developed Excel and Python models to automate the workflow of post-loan inspections.