FF Quant Advisory - Wereldtuinenlaan 70
About FF Quant Advisory
Dr. Xiaoyu Shen is a senior quant consultant with 8+ years’ hands-on experiences in both market risk model development and pricing model validation.
Examples of market risk models/methodologies he has worked on include Incremental Risk Charge (IRC) under Basel III, Default Risk Charge (DRC) and other statistical models in the FRTB framework, Funding Valuation Adjustment (FVA), etc.
Examples of pricing models he has independently validated/tested include FX, credit and IR (interest rate) asset classes.
Various other quantitative models he has worked on include market prediction models based on machine learning technics, VIX trading strategies, prediction models based on Bayesian inference, etc.
He has a PhD in Finance from VU University Amsterdam and still engages in academic research. His current research interests comprise efficient computational algorithms of risk measures and risk sensitivities of credit portfolios in multi-factor copula models.
Contact FF Quant Advisory
| Address : | Wereldtuinenlaan 70, 3452 RZ Utrecht, Netherlands |
| Phone : | 📞 +87 |
| Postal code : | 3452 |
| Website : | http://www.fsquaredquant.nl/ |
| Categories : | |
| City : | Utrecht |
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