Gang Zhang
Quantitative Analyst @Citi
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WORK HISTORY
Quantitative Analyst @Citi
Worked in quantitative modeling and analysis for financial products of institutional clients • Improved the CDS models in Citi’s risk model system, and used historical credit spread data to calibrate model parameters, such as credit spread volatility, credit rating ladders, and the rating transition matrix• Using CDS model simulations to estimate a conservative look-up table of credit exposure factors, used to calculate the exposure of CDS trades not served in the modeling system• Conducted statistical back-testing, convergence testing, and stress testing for equity derivatives simulation and pricing models for options and total return swaps (TRS)
EDUCATION
The University of Texas at Austin
Doctor of Philosophy (Ph.D.)
Lanzhou University
B.S.
Yale University
Postdoctoral Associate
SKILLS
ABOUT GANG ZHANG
Quantitative Analyst at Citi
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