Fei Xue

Experience

1. Director, Risk and Research

   The Rockefeller Foundation

   Jan 2023 — Present · NY, US

   Designed and implemented comprehensive risk management and portfolio analytics framework including building models at total portfolio level, asset class level, and manager level, upgrading external systems, and refining internal processes. Integrated in Investments Office\'s decision making processes on asset allocation, risk management, and manager selection. Some of my notable achievements include:• Developed an advanced model using Monte Carle simulation based on models and assumptions of asset class returns, commitment schedules, cash flow patterns, and market environments. It identifies and measures liquidity risk of the portfolio, which was a key enhancement to traditional asset allocation models.• Designed and maintained a quantitative manager selection system with 100+ performance and risk metrics and covering 250+ marketable managers.• Evaluated major risk systems including Barra, Axioma, Bloomberg PORT, BNYM Risk View, Caissa, Solovis, SEI Novus, upgraded the system twice with lower cost and more functionalities.• Hosted internal quarterly risk review meetings on market environment and portfolio risk profiles and presented to COO and CFO. Enhanced weekly, monthly, quarterly internal processes and reports.

Skills

• Vba
• Matlab
• Risk Management
• Financial Modeling
• Quantitative Analytics
• Financial Statement Analysis
• Quantitative Finance
• C/C++