Taipei–Keelung Metropolitan area
I’m ambitious and thirsty for learning everything, especially for data science, machine learning, and financial engineering. Moreover, I’m a communicative person and love to interact with people.
Responsible for providing asset-liability management strategies • I developed various asset-liability management strategies with prototypes for insurance companies, such as asset allocation strategies, insurance product strategies, and hedging strategies. These strategies optimize the companies’ returns and control their risk, considering new accounting standard (IFRS17) and capital standard (ICS). • I developed a “three-steps capital-driven asset allocation strategy” with a prototype for asset allocation projects, including controlling interest rate risk with fixed income assets, maximizing profit with growth assets, and tunning interesting rate risk with derivatives. This strategy has been implemented by one of our clients, and it would lower risks while increase profits compared to client’s original asset allocation strategies. • I collaborated with software vendors, such as SAS and Moody’s, to develop Asset-Liability Platforms that featured asset-liability interaction, implemented asset trading strategies, and predicted macroeconomic scenarios. Other projects • Other projects included reviewing annual actuarial report, performing M&A analysis, designing insurance products, performing automated valuation of actuarial system, and performing actuarial audits.
Responsible for developing Asset-Liability Platform • It was a platform to perform stochastic simulation with different asset mixes and economic scenarios, predicting future profit, cashflows, and risk. • It featured high simulation performance with parallel computing and optimized algorithms. • It was used by various sections and departments to perform daily asset valuation, profit testing, and risk calculation, such as Actuarial Department and Risk Management Department. Responsible for developing CathayLib • It was a C++ cross-platform library with Python interface, featuring modularized calculation of asset valuation, amortization, cash flow projection, profit & loss projection, and risk metrics. • It covered asset types including Fix/Floating Rate Bond, Callable Bond, Range Accrual Bond, Dual Rang Accrual Bond, Cross Currency Swap IRS, CS & NDF, Caps, and Mortgage. • It had Python interface, so that colleagues can easily test the influence of asset mixes or asset-liability strategies.
Actuarial Department, Decision Supporting System Sector • Responsible for feature selection program of AI platform • Responsible for Taiwan online news web crawling program of AI platform • Responsible for CathayLib, a C++ cross-platform library with Python interface, featuring modularized calculation of assets valuation, amortization, cash flow projection, profit & loss projection, and risk metrics.
Risk Management Department, Enterprise Risk Management Sector • Research in "Bond Credit Rating Downgrade AI Prediction."
• NTHU MOOCs course “Bitcoin and Blockchain.” Responsible for preparing teaching materials.
• Research in "ICS Market Risk Research – Dynamic Nelson-Siegel Model and DNS Shock." Responsible for DNS model Python library and results analysis. • Research in "Schroders GMXB Dynamic Hedging Research." Responsible for dynamic hedging model programs and results analysis. • Research in "MOST Research, A Probability Model for Analysis of Attacks on Blockchain." Responsible for risk models construction and results analysis.