Huameng Jia
Associate Director Global Risk Analytic @RBC Capital Markets
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WORK HISTORY
Associate Director Global Risk Analytic @RBC Capital Markets
CA
Perform and improve CCAR on going performance monitoring on rates pricing model (fixed rate bond, rfr compound/average rate frn, IBOR frn, callable bond) with PLA test, total pnl decomposition (rtpl, theta, spread), risk factor analysis, sensitivity comparison, benchmarking, production model replication, etc.Internal RiskWatch pricing model code change (c++) for callable bond model and fx option to accommodate vendor library upgrade.One factor hull white model parameters calibration methodology and market instrument selection study.Working knowledge on various IR products including fixed rate bond, frn, callable bond, bond option, swap, swaption, cds
EDUCATION
University of Waterloo
Doctor of Philosophy (Ph.D.), Actuarial Science
University of Waterloo
Bachelor of Mathematics, Actuarial Science, Mathematical Finance, Statistics (Triple majors)
University of Toronto
Master of Science (M.Sc.), Statistics
ABOUT HUAMENG JIA
Risk quant. Skilled in Enterprise Risk Management, quantitative risk management, C++, Bash, Matlab, R, SQL, VBA, and Python. Strong education professional with a Doctor of Philosophy (Ph.D.) focused in Actuarial Science, quantitative risk management from University of Waterloo.
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