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이화영
Financial Engineer with the ability to solve complex portfolio optimization problems with investment constraints, along with experience in liquidity adjusted market risk (FRTB) modelling.
경력
--- Responsibilities • fiat currency portfolio (hedge) trade strategy research: methodology selection, prototyping, backtesting, and performance monitoring • JPY, USD hedge trade signal generation (IR: 1.06 and 1.33, respectively) --- Achievements • Devised and implemented real-time intraday risk on/off proxy v FX rate correlation chart with order-flow indicators (Matlab, React.js, C#) • Calibrated path-dependent stochastic process models on high frequency FX rate movements, MC simulation to generate future exchange rate trajectories • Implemented algorithmic news trading (ANT) applied to FX market, quantified 1w/3m macro sentiment for a given country (NodeJS, Matlab, MySQL)
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--- Achievements • Managed sharp ratio as 2.04 for trading periods 250 days --- Responsibilities • Traded index options, Eurodollar and Natural Gas futures, butterfly trading on Fixed income portfolio (Matlab)
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--- Meister technologies, Seoul, Korea (2018) Achievements • Devised and back-tested systematic arbitrage trading strategies on bitcoin, Ethereum perpetual-swap/futures contracts (Matlab, Python, Java, MySQL) • Generated entry/exit signals (for various price observation frequencies) on Binance perpetual swap, futures long short positions. Python program follows dynamic hedge ratios, estimated on bid-ask spread, exchange fee adjusted bid ask prices (at which position enters or exits) • Configured trading system to update maturing swap-future pairs and futures contracts Responsibilities • Independent research utilizing high frequency data sets • Model calibration for a mean-reversion strategy on bitcoin futures (cross-exchange) • Portfolio optimisation with liquidity, volatility and technical indicator constraints • Intraday real-time P&L, transaction costs report with entry/exit basis
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--- Achievements • Implemented quantitative, fully automated ETF portfolio rebalancing program on investment policies • Developed ETL batch jobs to feed data to AI engine (Java, Oracle, R, Python) --- Responsibilities • Portfolio optimisation with market risk and liquidity constraints (MATLAB) • ETF portfolio rebalancing on investment policies (e.g. cash, region weight, and target rolling volatility constraints)
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Achievements • Automated ETF portfolio rebalancing process on investment policies Responsibilities • Portfolio optimisation with market risk and liquidity constraints (MATLAB) • Rebalancing ETF portfolio on investment policies (e.g. cash, region weight, and target rolling volatility constraints) • Developed batch jobs to ETL data required by AI engine (Java, Oracle, R, Python)
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Achievements • Automated ETF portfolio rebalancing process on investment policies Responsibilities • Portfolio optimisation with market risk and liquidity constraints (MATLAB) • Rebalancing ETF portfolio on investment policies (e.g. cash, region weight, and target rolling volatility constraints) • Developed batch jobs to ETL data required by AI engine (Java, Oracle, R, Python)
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Achievements • Automated ETF portfolio rebalancing process on investment policies Responsibilities • Portfolio optimisation with market risk and liquidity constraints (MATLAB) • Rebalancing ETF portfolio on investment policies (e.g. cash, region weight, and target rolling volatility constraints) • Developed batch jobs to ETL data required by AI engine (Java, Oracle, R, Python)
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--- Achievements • Implemented an application to measure liquidity adjusted portfolio market risk employing Power-Law and stair step MSDCs, and time average VaR/ES (Matlab, Java, MySQL) • Measured optimal liquidation time and costs for given liquidity policies (e.g. Liquidation size 100% for max. 30 day trading periods, and portfolio ES limit) • Estimated and compared (prior/posterior) VaR/ES on the distribution of financial costs given the department selected in Bayesian network. --- Responsibilities • Developing risk management tools, quantifying market liquidity risk based on stair step MSDCs, operational risk using Bayesian belief network
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2013년 9월 - 2014년 7월 · 11개월
Software Engineer
2013년 9월 - 2014년 7월 · 11개월
--- Data Analyst, POSCO (Client), Seoul, Korea (1/2014 ~ 6/2014) Achievements • Improved prediction for nickel price (both direction, size) with market sentiment indicator (60%) Responsibilities • Implemented Nickel price forecasting system to use on buy decision making (Java, PostgreSQL, SAS) • Devised patterns of text that indicate future nickel price movement and trend of risk factors • Coded economic events from Reuters news and quantified the impact of events using a word frequency distribution --- Senior Programmer, Samsung Electronics (Client), Suwon, Korea (9/2013 ~ 12/2013) Achievements • Reduced the time of startup sensing process (2 hour frequency) Responsibilities • Implemented startup sensing system to use on merge and acquisition (M&A) deals • Created batch jobs to extract, transform and load the M&A transactions data by Standard and Poor’s Capital IQ into the local DB (Java, MSSQL, SAS)
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Research Engineer
2013년 9월 - 2014년 7월 · 11개월
--- Data Analyst, POSCO (Client), Seoul, Korea (1/2014 ~ 6/2014) Achievements • Improved prediction for nickel price (both direction, size) with market sentiment indicator (60%) Responsibilities • Implemented Nickel price forecasting system to use on buy decision making (Java, PostgreSQL, SAS) • Devised patterns of text that indicate future nickel price movement and trend of risk factors • Coded economic events from Reuters news and quantified the impact of events using a word frequency distribution --- Senior Programmer, Samsung Electronics (Client), Suwon, Korea (9/2013 ~ 12/2013) Achievements • Reduced the time of startup sensing process (2 hour frequency) Responsibilities • Implemented startup sensing system to use on merge and acquisition (M&A) deals • Created batch jobs to extract, transform and load M&A transactions data from S&P Capital IQ to local DB (Java, MSSQL, SAS)
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--- Internship, Ionic Information Ltd, London, UK (4/2009 ~ 6/2009) Achievements • Automated market risk estimation using the real-time data feed from the Sharescope package Responsibilities • Implementing a portfolio VaR application: VaR-cone indicator for an equity portfolio based on the Expected Shortfall(ES) method from the Extreme Value (EV) theory (Java) --- Dissertation Project (6/2009 ~ 9/2009) Achievements • Implemented the Asian option pricing engine with the FpML Interface • To mitigate mispricing and operation risk of the OTC Asian option contract, app automated OTC Asian option contract with the extend Quantlib pricing engine and the FpML Interface (C++, XML) Responsibilities • Pricing exotic options (barrier, chooser, shout, Asian, compound, lookback options), IR derivatives (Caps and Floors, Swaption pricing based on Black's models) with short rates (Vasicek, CIR, HW models) • Computing default probability, average default intensities based on LGD, CDS price, and bond yield spread • Regression analysis for FX implied volatility swap, pricing Forward volatility agreement (FVA) • P&L clustering using Markov chain Monte Carlo (MCMC) methods (Gibbs sampling, Metropolis–Hastings algorithm) • Computing CIP line on FX spot/forwards with transaction costs • Cross-sectional predictive regression with liquidity, fundamental, momentum, volatility, and statistical factors
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학력
• Title: “Portfolio liquidity management with expected shortfall constraint“ • Research Objective: quantifying the potential cost of liquidity constraints on equity portfolios • Research Contributions: devised a model measuring equity portfolio liquidity risk in the presence of capital requirement and portfolio ES limit • Environment: Matlab, Java and MySQL Modules: CE802 Machine learning and data mining MA305 Nonlinear Programming MA322 Bayesian computational statistics MA319 Stochastic Processes MA320 Financial Derivatives EC965 Time Series Econometrics BE362 Fixed Income Securities BE357 Behavioural Finance BE361 Risk Management BE355 Exchange Rates and International Finance CE314 Natural Language Engineering CF962 Quantitative Methods In Finance And Trading CF965 High Frequency Finance And Empirical Market Micro-Structure
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• Automated OTC Asian option contract with the extend Quantlib pricing engine and the FpML Interface that mitigates operation risk of the OTC Asian option contract (Matlab, C++, XML) Modules: CE821 Underlying Technology In Financial Systems CF903 Topics On Financial Mathematics And Market Analysis CF901 Computational Methods For Financial Engineering And Risk Management
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