1. JUN ZHAI
1 E Scott St. Apt. 1906, Chicago, IL 60610 | (+1) 773-739-3238 | zhaijunjay@gmail.com
EDUCATION
THE UNIVERSITY OF CHICAGO Chicago, IL
Master of Science in Financial Mathematics (GPA: 3.92/4.00) September 2012 – June 2013
NANKAI UNIVERSITY Tianjin, China
Bachelor of Economics in Finance (GPA: 88.6/100) March 2010 – June 2012
TIANJIN UNIVERSITY Tianjin, China
Bachelor of Science in Mathematics and Applied Mathematics September 2008 – June 2012
GPA: 91.9/100. Rank: No. 1 out of 59 students.
GEORGIA INSTITUTE OF TECHNOLOGY Atlanta, GA
Atlanta Summer Program (ESL) July 2011
EXPERIENCE
CME GROUP Chicago, IL
Quantitative Risk Management Associate January 2016 – Present
Research on the pricing and risk models like Historical VaR, Monte Carlo VaR, Multi-Factor risk models,
Liquidity risk models, etc. for Credit Default Swap, US Treasuries, Repurchase Agreement and Equity
Swaps. Enhance existing risk models as well as design new models based on empirical studies. Perform
back-testing and statistical analysis require to ensure the adequacy of margin coverage and justify model
assumptions.
Develop analytics and risk management tool (code in C#) providing functionalities such as pricing, curve
building, bootstrapping, time series analysis, scenario analysis, calibration and computation of VaR based
models, back-testing, stress testing, sensitivity analysis and portfolio generation.
Lead teams of students from the University of Chicago Financial Mathematics program on a project for
pricing and risk modeling of Equity Swap.
AXIOM TECHNOLOGY GROUP Chicago, IL
Quantitative Analyst (Consultant at CME GROUP) July 2013 – December 2015
Hired as a consultant in the quant risk team focusing on credit and equity products at CME Group.
Developed a new quantitative framework for assessing risk requirements for portfolios of index and single
name CDS relying on a statistical model for CDS spreads. Prepared and reviewed CDS Risk Committee
materials. Collaborated with third-party independent reviewers to replicate and validate the CDS model.
The new framework was approved by RC and filed to SEC, CFTC and FED. As a co-inventor, this
framework was filed as an US patent in May 2014. Won CME Group Employee Innovation Program Patent
Application Awards in 2015.
Worked with intern on a project about comparison of variance reduction methods for (Quasi) Monte Carlo
simulation of t-copula model, including using common random numbers, stratification sampling and Sobol
sequence.
Applied parallel computing techniques to the back-testing code for Monte Carlo model. The running time
was reduced by 80%.
Participated in the production codebase development of the new CDS model (coded in C++ and JAVA),
working with colleagues from IT, risk research, market risk, settlements, operations and a third-party vendor
to design, implement, test and maintain the CDS risk engine. This risk engine has been running smoothly
in production since Feb 2015.
2. JUN ZHAI
1 E Scott St. Apt. 1906, Chicago, IL 60610 | (+1) 773-739-3238 | zhaijunjay@gmail.com
AEGEA CAPITAL MANAGEMENT LLC Chicago, IL
Intern January 2013 – June 2013
Used time series tools to analyze the volatility surface of S&P500 index options following different types
of market moves, during different implied volatility environments, and over different time periods.
Found useful statistics to describe the historical moves in the implied volatility surface and established
model to interpret the information for risk management purposes.
PUBLICATIONS
A matrix-free smoothing algorithm for large-scale support vector machines
Information Sciences, Volumes 358–359, September 2016, Pages 29–43.
A regularized smoothing Newton-type algorithm for quasi-variational inequalities
Computers & Mathematics with Applications, Volume 68, Issue 10, November 2014, Pages 1312–1324.
An inexact smoothing-type algorithm for support vector machines
Neurocomputing, Volume 129, April 2014, Pages 127–135.
Calibration Estimation via a Smoothing Newton Method
WSEAS TRANSACTIONS on MATHEMATICS, Issue 3, Volume 12, March 2013, Pages 329-340.
PATENTS
Margin Requirement Determination and Modeling for Cleared Credit
United States Patent Application 14/706, 673.
PROJECTS
Regression Analysis and Trading Strategy December 2012 – June 2013
This project and paper analyze the pairs trading strategy and propose a new approach to model relative
mispricing of paired assets. The innovation includes parameterizing asset returns with a view to incorporate
economic and financial risk factors into the strategy as opposed to basing it purely on historical price. We
proposes that spread is a stochastic mean-reverting process and discusses the estimation techniques. The
back-testing results suggest that the trading strategy outperforms the benchmarks and achieves annual
return 22.75%, Sharpe Ratio about 5.39 during the backtesting period 2003-2013. Major model technics
include factor model, hidden Markov model (HMM), Kalman filter and Expectation–maximization
algorithm.
CERTIFICATIONS
National Computer Rank Examination Certificate (C++)
The Ministry of Education of China License 61311202043115, March 2010.
ADDITIONAL INFORMATION
Examinations: Certified FRM, Passed Level II of the Chartered Financial Analyst examination in 2013.
Languages: English (fluent), Chinese (native).
Computer: Proficient: C++, C#, JAVA, MATLAB, R, SQL, BLOOMBERG, IBM SYMPHONY, SWIG.
