Yan-Chen Chen

• Exposure model validation - FX Forward, Delivery Option, Digital Option
• Support the sales team with proper risk measurements of derivative products' risk limit usage. The measurement resulted in zero breach events.
• Automated risk data analysis processes with VBA, reducing manual workload by 40% and increasing accuracy.

• Support the sales team by pricing structured notes and making $13,210,099 fee income in 2021.
• Implement pricing model for structured notes - CMS Spread, IR Range accrual, EQ & FX hybrid
• Enhance the efficiency of the pricing work and reduce the pricing time of each structure note to 0.125 times as long as the original.
• Make the process of the structure notes’ daily MTM report more efficient. Reduce the time of generating the daily MTM report from 30 minutes to 1 minute.
• Make the accumulation of margin call check results more efficient. Reduce the time of the accumulation process from 2 hours to 5 minutes.

Specialize in financial engineering

• Financial product design and pricing, Jow-Ran Chang
• Stochastic financial theory, Ching-Fan Chung
• Real estate finance, Che-Chun Lin

Master thesis: Predict the yield curve of US bond

Instructor: Ching-Fan Chung

• Derive a continuous interest rate model that fuses Nelson Siegel model and Hull-White two-factor model.
• Implement the derived hybrid model in R.
• Build data pipeline to download, process, and store data set.
• Validated the model against the U.S. Treasury data and achieved RMSE of 0.59 dollars per 100 dollars face value.

Project: Forecast Real Estate Transaction Price in Taipei City

• Implemented particle swarm optimization algorithm in Python.
• Integrated the optimizer to work in conjunction with the scikit-learn SVM library.
• Used the integrated model to predict real estate transaction prices in Taipei city. Applied the model to the real estate transaction data set and achieved a MAPE of 35%.

Global Stress Tests Integration

• Consolidated regulations and compliance responsibilities at overseas branches.
• Analyzed potential risk based on local economic enviroment and primary business undertaken.
• Organized threat scenarios and eliminated repetitive test items.
• Reduced the amount of the stress tests by 20%.