Allan Lin
- Role
- Market Risk Methdology at Deutsche Bank
- Location
- New York, NY, US
- LinkedIn followers
- 500 followers
About Allan Lin
Specialties: Mathematics: stochastic process, stochastic calculus, partial…
Experience
Market Risk Methdology
Dec 2015 — Present
Manage all aspects of the new risk system (Full Revaluation Historical Simulation) implementation including methodology selection, data collection and analysis, prototyping, backtesting, and performance monitoring.* Research improvements to enhance current risk methodology (Monte Carlo Taylor Expansion) and infrastructure buildouts through collaboration with Business and IT.* Partner with daily risk management team to facilitate and enhance their understanding of risk and portfolio exposures through the use of comprehensive risk metrics and techniques (e.g. stress testing, scenario analysis, VaR and other tail-risk measures etc.)* Prepare risk analytics and commentary to support both internal and external risk meetings.
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