Dave Yi WEI
2214 Bagby Street, Apt. 1315, Houston, Texas, USA  77002
Phone: (713) 345-3853 (O), (713) 523-7105 (H)   E-mail: wyroc@rocketmail.com

OBJECTIVES: Portfolio and Risk Management, Trading System, Quantitative Analysis.

HIGHLIGHTS OF  QUALIFICATIONS

•	Detailed understanding of financial products, risk management methodologies and software.
•	Strong skills in programming, spreadsheet, financial data modeling and analysis. 
•	Innovative, independent of thought, strong analytical and quantitative capability.
•	A quick learner with highly developed intellectual capital obtained through relevant experience.
•	A team player with excellent interpersonal, communication and organizing competencies.

WORK EXPERIENCE
 
Specialist, Energy Trading Systems, Enron Networks, Houston     		     Sept. 00 - now

Portfolio calculation engine trouble shouting, debugging and functionality enhancement. Implemented volatility skew adjustment for natural gas options. Added new attributes to fetch deals for portfolio calculation. Cleaned up basis swap and basis swaption code to fix the erratic crash experienced by the previous version. Designed basis position roll off user-interface. Solved various user problems regarding deal capture, curve loading, valuation, and reports. Detailed analysis of data flow and business logic embedded in the system to explain to risk managers how some of the key numbers, such as mid-price, curve-shifts, and other sensitivities, are derived. Attended the Enron Research group sponsored weekly executive lunch meeting to learn current issues of risk management.

Financial Engineer, Model Validation & Testing, Algorithmics Inc. Toronto             Jun. 99 - Sept. 00

Validated, tested and documented RiskWatch 3.2 new features, covering Banking Book Instruments (Loans, Line of Credit, Receivable), Recovery Value of Bonds in Default, Discounted Exposure and Loss, Credit Spread Curve, Scenarios on Credit States and Recovery Rates, Credit-to-Close Exposure, Advanced Netting Hierarchy, Monte Carlo HW Lattice methods for Consumer Products (Demand Deposit, Credit Card, Insurance), HW Lattice Swaptions, Callable Bond (OAS calibration), Callable Swap, Fixed Maturity Swaptions, Credit Derivatives (Total Return Swap, Default Swap, Credit Spread Options), Risk Index Instruments (Brady Bond, Float and Fixed Coupon Bonds, Common Stock, Portfolio), MBS Instruments, Dynamic Trading Strategy, ADR Instrument, Integrated Market and Credit Model for Correlated Portfolio Default Loss, FEA Exotics and Energy Instruments. 

Analyst,  Quantitative Risk Management, Bank of Montreal, Toronto                       Sept. 98 - May. 99 

Derived security lending replacement risk factors from time series data 
of stock indexes, FX, BA, CP rates, sovereign, provincial, and corporate bonds.
Tested Treasury Credit Risk Management System Monte Carlo Engine for interest rate swaps, cross currency swaps and FRA, responsible for market data integration, at the money deals generator and credit risk exposure reporting system automation and functionality enhancement.
Developed various sophisticated VBA functions and macros for data manipulation and analysis.
Analyzed mark-to-market data of CARMA with independent pricing methods for Fixed Rate and Discount Instrument, Money Market Futures, Bond Future, FX Future, Money Market Futures Option, Bond European Futures Option, FX Futures Option, Interest Rate Cap/Floor, European and Bermuda swaptions on Callable/Retractable bond, and maintained VaR backtest report.
Associate,   Macro Investment Group, Montreal                                                         May 97 - Aug. 98

Designed spreadsheet models for minimizing transaction costs of trading.  
Market events (merge and acquisition, bankruptcy) analysis, regression and correlation modeling of major financial variables, such as interests, equity indexes,  FX rates.
Formulated option-selecting strategies for maximizing profit. Analyzed and traded stocks and options.
Designed and implemented a proprietary quantitative equity trading system based on fair valuation and arbitrage pricing relationships, including boundary conditions, put-call parity, and box spread.

Teaching & Research Assistant, McMaster University, Hamilton                     	    Sept. 90 - Aug. 95

Taught undergraduate students friendly and effectively. Achieved Ph.D. 9 months ahead of schedule.
Formulated a new model of "Virtual Radii" of atoms - solved a fundamental problem in coordination chemistry/crystallography, with extensive use of database, C++ programming and statistics.
Synthesised and characterised 14 new compounds with desired characteristics for potential use as pharmaceuticals. Presented papers at refereed conferences, and published papers in refereed journals.

Manager,   China Association of Science and Technology, Beijing                	  Sept. 84 - Sept. 90

Worked with cross-industry projects forecast, budget, implementation and monitoring.
Co-authored "Approach to Successful Business", People's Press, Beijing, 1988 - sold 20,200 copies. 
Achieved cost control, profit improvement and strategic goals successfully. Led the feasibility study and strategic planning of new products for several major companies. Co-ordinated collaboration projects between China and the North East Wales Institute of Higher Education, UK; China-Japan Bilateral conference on the policy of science and technology. Led case studies of successful technology-based business. Published articles on innovations, and R & D strategies. Developed business plan for bottled water and water treatment equipment. Conducted market research of telecommunication and computer industries. Sold listing and advertising space in a business directory book.
 
EDUCATION and AWARDS
	Canadian Securities Course, 1997, Canadian Securities Institute, Montreal
	MBA, Quantitative Finance, 1997, McGill University, Montreal, Quebec  
	Ph.D., X-ray Crystallography, 1995, McMaster University, Hamilton, Ontario 
	B.Sc., Theoretical Chemistry, 1984, Beijing Normal University, Beijing  
	Ontario Graduate Scholarship, Ontario Ministry of Education and Training, 1994. 
	Centennial Scholarship 1994; Graduate Scholarship, 1990-95; McMaster University.

LANGUAGES: 	Fluent English and Mandarin, rudimentary French and Japanese.

COMPUTER & FINANCIAL MODELING SKILLS	
C/C++, Visual C++, Pro*C, Visual Basic, VBA, Excel, ODBC, VBScript, HTML,  JAVA, JBuilder, UNIX, Solaris, ARS, Exceed, Windows 98/NT, Access, SQL, SQLPlus, TOAD, RapidSQL, DRIpro, Reuters, Bloomberg API, CARMA, JPMorgan RiskMetrics, CreditMetrics, CreditRisk+, KMV, Infinity, RiskWatch (RiskSript, Risk++), FrameMaker.

OTHER   MAJOR   ACHIEVEMENTS
	Team Captain, TD Bank Greenline Investment Challenge, 1996.
	Vice president, McGill Entrepreneurs Club and McGill Finance Club, 1995-97.
	Vice president, Canada-China Friendship Association, Hamilton, 1994-95.
	Team Leader, Field Trip of Knowledge-based Business in Taiwan, 1994.
	Captain, McGill University Chinese Student and Scholar Soccer Team, 1997.
	Captain, Algorithmics Basketball League, 1999-2000.