Bryan Chan
Quantitative Analyst
Talent
SingaporeMember since May 19, 2023
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About
Quantitative Analyst who have experience in risk management, pricing and machine learning.
Experience
Counterparty Risk Manager (Barclays New York) - Feb 2023 – current
- Quantitative risk management include Initial Margin/Exposure computation using Monte-Carlo & in-house tool
- Backtesting of portfolio margin against P&L with Python coding
- Understand Quantitative Library/risk model, its limitations, risk factors, proper utilization and improvement
CME Group, New York, Pricing & valuation analyst - March 2022 – Jan 2023
- Commodity futures price daily settlement, data collection/cleaning & Python tools improvement
- Implement Futures Price model tool (two factors) in Python to enhance analytic/visualization capability
United Overseas Bank, Singapore - May 2017 – Feb 2021
Manager (Associate), Counterparty Credit Risk
- Testing/verification of Counterparty Credit Risk of FX/IR/Fixed-income/derivative products for risk exposures calculation, resolve limits breaches, trade reconciliation & VBA coding for automation.
- Backtesting of PFE (Potential Future Exposure) model using historical data with coding
- Understand the derivative pricing, risk factors, PFE methodology and its MATLAB codes
Education
Stevens Institute of Technology, US - December 2021
Master of Science in Financial Engineering
University of Nottingham, UK - January 2017
Master of Business Administration (MBA) in Finance
