Cynthia Wang
Director | Counterparty Credit and Market Risk | Treasury Risk | Fixed Income | RMBS and ABS, Model Development and Model Validation Team Leader | PhD | CFA | FRM
- Role
- Director, Counterparty Credit and Market Risk, Head of International Bank Market Risk Analytics at State Street
- Location
- Scarsdale, NY, US
- LinkedIn followers
- 500 followers
Experience
Director, Counterparty Credit and Market Risk, Head of International Bank Market Risk Analytics
Oct 2015 — Present · New York, NY, US
Leading model development efforts for FX and IR derivatives curve building, pricing and risk management modeling to deliver VaR, FRTB, XVA and PFE capabilities, collaborating with IT, and Risk Analytics Library teams in infrastructure design- Leading model development and benchmarking initiatives for Security Finance and derivatives PFE, VaR, and XVA models; supporting new product development, working with FO and IT teams on market data sourcing and software upgrade; performing limit breach and production failure investigation- Implemented regulatory-compliant stress testing frameworks that addressed general market and idiosyncratic risks, presenting to regulators and senior stakeholders including the FRB and Trading and Market Risk Committee- Spearheaded LIBOR transition projects, including the development of yield curve modeling, prepayment assumptions, and credit spread modeling for global treasury portfolios, coordinated U.S. and international regulatory requirements, presented to Treasury Risk Policy Committee for approval- Led model development effort in ICAAP IRRBB and CSRBB modeling and CCAR OCI modeling to address regulatory findings- Supported the treasury risk limit management framework, new product development by performing risk and capital assessment
Education
University of Science and Technology of China
B.S., Chemical Physics
1991 — 1996
Michigan State University - Eli Broad College of Business
Ph.D, Operations Management
1996 — 2001
Michigan State University
M.S., Computer Science and Engineering
1998 — 2000
Skills
- Fixed Income
- Credit Derivatives
- Financial Risk
- Analytics
- Capital Markets
- Enterprise Risk Management
- Derivatives
- Valuation
- Operational Risk
- Financial Modeling
- Foreign Exchange (Fx) Options
- Portfolio Management
- Credit Risk
- Fx Options
- Market Risk
- Quantitative Finance
- Var
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