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Wei Li
Forest Hills, NY 11375
Email: wli789@yahoo.com (718-308-1827)
SUMMARY:
• Expertise in automation with MS office on various processes: reporting, data warehouse,
SOD and EOD checking, user interface for traders, Bloomberg API.
• Expertise in manipulating data with EXCEL
• 9 years of experience on VBA/Excel/ACCESS/ADO/SQL
• Supported Fixed income trading desk and weather commodity trading
• Worked on risk management on VaR, scenario analyses, stress testing, Monte Carlo
• Worked on valuation of Options, IR swaps, IR swaptions and implied volatilities.
• Experience of Python, C# /C++, Oracle database, MatLab.
• Math PhD from Columbia University and FRM (Financial risk management) License
• Team player and easy to get along with
WORK EXPERIENCE:
April, 2015 to Present, BNP Paribas (Consulting) New York, NY
RAD Developer, Supporting Fixed Income trading desk
• Support fixed income trading desk
• Built code and spreadsheets that automated EOD check
• Automated processes that grab Bloomberg data.
• Built spreadsheets as user interface for trading desks and middle office.
• Developed code that transfers excel blocks to HTML files for emails
• Read and wrote python codes for migrations between EXCEL and Python.
• Gathered requirements from MO and front desk traders.
April, 2013 to April, 2015, Swiss Reinsurance (Consulting) New York, NY
Quant Developer, Supporting weather commodity trading
• Supported weather commodity trading
• EOD support to make sure that all the data was loaded correctly.
• Develop VBA code to call stored procedures in Oracle database.
• Automated weather models and integrated them into batch which runs automatically daily
• Developed correspondent tools, procedure and user interface for underwriters
• Built C# GUI connecting to Oracle and Sybase
• Developed Oracle stored procedure for business process.
August, 2011 to March, 2013, JPMorgan (Consulting) New York, NY
Developer, (Commodity risk reporting)
• Gathered requirements from MO users
• Built robust reporting system from scratch with VBA/EXCEL/ACCESS.
• Built Excel user interface (e.g, create complicate SQL command based on user’s inputs) to
manipulate data in database and create reports based on user’s perference
• Developed tool with VBA/ACCESS to check XML data format.
January, 2011 to June, 2011, GVG of Deutsche Bank (Consulting) New York, NY
BI Analyst,(Global valuation group) Building infrastructure that can be used to automate the
presentation of business metrics of each division of GVG group. The generic tool I built consists of
three parts:
• Supported and automated MO reporting procedures
• Wrote VBA codes and built tools that simplified the reporting processes.
• Built VBA codes that automated inputting data from other spreadsheets.
December, 2008 – May, 2010, Prudential Individual Annuity Hedging (IAH), Newark, NJ
Analyst, BI developer and associate actuary : developed UI and BI tools with VBA, SQL, C# and
C++ on automation, data transaction and analyses, math libraries; prepared reports on portfolios.
• Developed user interface with C# (winforms and multithreading) and link to tables in SQL
server.
• Coding VBA (and Access VBA) and built Excel template for various business needs, like
data organization, automation, retrieving data from Access database, etc.
• Build C++ Math DLL for time-consuming calculation.
• Worked on interest rate models for Individual Annuity Hedging (IAH), especially tried to
tackle the intrinsic problems on low interest situation.
June, 2007 – November, 2008 – ING USA Financial Service Westchester, PA
Developer and associate actuary : Developed risk management models, rebuilt the whole ING
hedging engine with EXCEL/VBA; studied the codes and improved the strategies to enhance the
results; performed cash flows analyses, PV (Monte Carlo) analyses and stress tests; developed
EXCEL and VBA codes for valuations of financial instruments and implied volatility; prepared
monthly reports.
• Built Spreadsheets for the valuation of options, futures, IR swaptions and implied volatilities.
• Solved the black-box problem on the valuation of interest rate swaptions in ECAPS
(Economic Capital Application System) used by ING hedging team
• Developed EXCEL/VBA models for multivariate regression, bucket analyses and instrument
selections for replication
• Carried out scenario analyses and stress tests.
• Used SQL aggregate functions to prepare reports.
Nov, 2005 – May, 2007 -- City University of New York New York, NY
Mathematics instructor
• Taught Algebra and Calculus
• Tutored mathematics and statistics
Nov, 1996 – Nov, 2005 – Electronic Trading Group, LLC New York, NY
Trader and analyst
• Analyzed the short term movement, resistance level and support level of stocks and indices
by analyzing moving average and technical indices, anticipated the turning points of stocks,
indices and stock markets
• Collected data of stocks and indices, analyze the correlation between stocks and the
corresponding indices. By doing this, I was able to identify the major players of stock markets
and anticipate the movements of indices by studying only a few stocks
• Traded stocks on NYSE and Nasdaq
EDUCATION: 1996 – Master and Ph. D degree in Mathematics, Columbia University, NY.
1990 - Bachelor Degree in Mathematics, FUDAN University, China
PASSED EXAMS: FRM (Financial Risk Management)
SOA(Society of Actuary) Exam P, Exam FM, Exam M, Exam C

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VBA_Developer

  • 1. Wei Li Forest Hills, NY 11375 Email: wli789@yahoo.com (718-308-1827) SUMMARY: • Expertise in automation with MS office on various processes: reporting, data warehouse, SOD and EOD checking, user interface for traders, Bloomberg API. • Expertise in manipulating data with EXCEL • 9 years of experience on VBA/Excel/ACCESS/ADO/SQL • Supported Fixed income trading desk and weather commodity trading • Worked on risk management on VaR, scenario analyses, stress testing, Monte Carlo • Worked on valuation of Options, IR swaps, IR swaptions and implied volatilities. • Experience of Python, C# /C++, Oracle database, MatLab. • Math PhD from Columbia University and FRM (Financial risk management) License • Team player and easy to get along with WORK EXPERIENCE: April, 2015 to Present, BNP Paribas (Consulting) New York, NY RAD Developer, Supporting Fixed Income trading desk • Support fixed income trading desk • Built code and spreadsheets that automated EOD check • Automated processes that grab Bloomberg data. • Built spreadsheets as user interface for trading desks and middle office. • Developed code that transfers excel blocks to HTML files for emails • Read and wrote python codes for migrations between EXCEL and Python. • Gathered requirements from MO and front desk traders. April, 2013 to April, 2015, Swiss Reinsurance (Consulting) New York, NY Quant Developer, Supporting weather commodity trading • Supported weather commodity trading • EOD support to make sure that all the data was loaded correctly. • Develop VBA code to call stored procedures in Oracle database. • Automated weather models and integrated them into batch which runs automatically daily • Developed correspondent tools, procedure and user interface for underwriters • Built C# GUI connecting to Oracle and Sybase • Developed Oracle stored procedure for business process. August, 2011 to March, 2013, JPMorgan (Consulting) New York, NY Developer, (Commodity risk reporting) • Gathered requirements from MO users • Built robust reporting system from scratch with VBA/EXCEL/ACCESS. • Built Excel user interface (e.g, create complicate SQL command based on user’s inputs) to manipulate data in database and create reports based on user’s perference • Developed tool with VBA/ACCESS to check XML data format.
  • 2. January, 2011 to June, 2011, GVG of Deutsche Bank (Consulting) New York, NY BI Analyst,(Global valuation group) Building infrastructure that can be used to automate the presentation of business metrics of each division of GVG group. The generic tool I built consists of three parts: • Supported and automated MO reporting procedures • Wrote VBA codes and built tools that simplified the reporting processes. • Built VBA codes that automated inputting data from other spreadsheets. December, 2008 – May, 2010, Prudential Individual Annuity Hedging (IAH), Newark, NJ Analyst, BI developer and associate actuary : developed UI and BI tools with VBA, SQL, C# and C++ on automation, data transaction and analyses, math libraries; prepared reports on portfolios. • Developed user interface with C# (winforms and multithreading) and link to tables in SQL server. • Coding VBA (and Access VBA) and built Excel template for various business needs, like data organization, automation, retrieving data from Access database, etc. • Build C++ Math DLL for time-consuming calculation. • Worked on interest rate models for Individual Annuity Hedging (IAH), especially tried to tackle the intrinsic problems on low interest situation. June, 2007 – November, 2008 – ING USA Financial Service Westchester, PA Developer and associate actuary : Developed risk management models, rebuilt the whole ING hedging engine with EXCEL/VBA; studied the codes and improved the strategies to enhance the results; performed cash flows analyses, PV (Monte Carlo) analyses and stress tests; developed EXCEL and VBA codes for valuations of financial instruments and implied volatility; prepared monthly reports. • Built Spreadsheets for the valuation of options, futures, IR swaptions and implied volatilities. • Solved the black-box problem on the valuation of interest rate swaptions in ECAPS (Economic Capital Application System) used by ING hedging team • Developed EXCEL/VBA models for multivariate regression, bucket analyses and instrument selections for replication • Carried out scenario analyses and stress tests. • Used SQL aggregate functions to prepare reports. Nov, 2005 – May, 2007 -- City University of New York New York, NY Mathematics instructor • Taught Algebra and Calculus • Tutored mathematics and statistics Nov, 1996 – Nov, 2005 – Electronic Trading Group, LLC New York, NY Trader and analyst • Analyzed the short term movement, resistance level and support level of stocks and indices by analyzing moving average and technical indices, anticipated the turning points of stocks, indices and stock markets • Collected data of stocks and indices, analyze the correlation between stocks and the corresponding indices. By doing this, I was able to identify the major players of stock markets and anticipate the movements of indices by studying only a few stocks • Traded stocks on NYSE and Nasdaq EDUCATION: 1996 – Master and Ph. D degree in Mathematics, Columbia University, NY. 1990 - Bachelor Degree in Mathematics, FUDAN University, China
  • 3. PASSED EXAMS: FRM (Financial Risk Management) SOA(Society of Actuary) Exam P, Exam FM, Exam M, Exam C