Chao Wei

Chao Wei

Phoenix, Arizona, United States
207 followers 204 connections

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About

Dr. Wei is currently a model risk analyst at Western Alliance Bank, conducting model…

Activity

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Experience

  • Western Alliance Bank Graphic

    Western Alliance Bank

    Phoenix, Arizona, United States

  • -

    Phoenix, Arizona, United States

  • -

    El Paso, Texas, United States

Education

Licenses & Certifications

Courses

  • Advanced Algebra

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  • Advanced Calculus

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  • Bayesian Economics

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  • C++ with Financial Applicaiton

    MSF575

  • Credit Risk Management

    MSF555

  • Financial Mathematics

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  • Financial Modeling

    MSF503

  • Financial Statement Anlysis

    MSF506

  • Futures, Options and OTC Derivatives

    MSF505

  • Market Risk Management

    MSF554

  • Mathematics with Financial Application

    MSF501

  • Models for Derivatives

    MSF524

  • Probability and Statistical Analysis

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  • Real Analysis

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  • Statistical Analysis in Financial Marekt

    MSF502

  • Stochastic Process

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  • Theory & Practice of Fixed Income Modeling

    MATH586

  • Time Series Analysis

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  • Valuation and Portfolio Management

    MSF504

Projects

  • Exotic Options Pricing by MC, Lattice, and FDM (in MATLAB)

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     Pricing compound exchange option using Monte Carlo simulation with variance reduction techniques.
     Pricing American option and spread option using Smart Lattice to save calculation time and memory.
     Pricing Barrier option using Crank-Nicolson Finite Difference Method.

  • Fixed Income Trading Strategies (in Excel/VBA)

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     Create TED spread trade using UST and Eurodollar futures, calculating spread value and hedge ratios of Eurodollar futures.
     Create Steepener and Flattener trade, duration and convexity butterfly trade using UST.
     Calculate daily P&L for each trade above, calculating standard deviation P&L for each trade and building portfolio of trades with equal P&L variation.

  • Interest Rate Modeling & Interest Rate Derivatives Pricing (in Excel/VBA)

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     Bootstrap Treasury yield curve using Broadlie monotonic cubic spline interpolation applied to continuously compounded Act/365 spot rate.
     Calibrate short rate models (Hull White, CIR, BDT, BK) to the current term structure of market price.
     Price interest rate derivatives (swap, swaption, cap, floor, collar, bond option) by Monte Carlo simulation, Lattice, Finite Difference Methods.

  • Internal Credit Risk Rating Model ( in Excel/VBA, MATLAB, R)

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     Develop four quantitative models including Scoring Model, Structural Model, Reduced Form Model, and PD Bootstrapping Model to measure credit risk quality of companies using in-sample data.
     Combine the four quantitative models to construct the hybrid model in order to separate in-sample companies into different groups based on their different risk profiles.
     Test the out-sample using hybrid model to see how the internal credit rating model performs.

  • Market Risk Modeling & VaR Estimation (in Excel/VBA, MATLAB, R)

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     Estimate 10-day VaR with 99% confidence level for nonlinear option portfolios using both quadratic approximation with Cornish-Fisher and Monte Carlo full valuation.
     Determine VaR for portfolio containing positions in stocks and bonds using beta and cash flow mapping.
     Statistical analysis in volatility forecasting under ARCH(m), EWMA, GARCH(1, 1) models.

  • Style Analysis, Analytics and Portfolio Management (in Excel/VBA)

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     Do style analysis and analytics to detect what benchmarks the funds (VEIPX&LSSIX) are tracking and what active bets they take in their active portfolio management.
     Construct unbiased alpha factor model to make portfolios and do back-test to improve our performance of portfolios.

Languages

  • Chinese

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  • English

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