Resume

• 2003

  PhD

  Dissertation: Essays on Diagnostic Checks in Time Series\nPublications in Journal of Time Series Analysis and Computational Statistics & Data Analysis.

  Statistics with scientific computing

  The University of Western Ontario

  CFA

  CFA Institute

• 2002

  Master of Science

  Computational Finance

• 2001

  Master of Engineering

  Degree project: Calibrating Non-Gaussian HJM Models Using C++

  sponsored by J.P. Morgan

  ORIE with financial engineering option

  Cornell University

• asset class

  Asset Allocation

  Derivatives

  strategic asset allocation

  Data Analysis

  Market Risk

  Economics

  Asset Management

  Risk Management

  Time Series Analysis

  Statistics

  ARIMA

  Credit Risk

  Quantitative Finance

  C++

  private asset

  CFA

  Investment research

  strong analytical and quantitative skills

  R

  Lin

  PhD

  CFA

  Advanced knowledge and professional experience in applying time series analysis and machine learning to dynamic asset allocation

  value-based investment strategies as well as modeling private assets

  Jen-Wen

  Lin

  PhD

  CFA

  CPP Investment Board

  University of Toronto

  University of Western Ontario

  EMA Consult Inc.

  AI Squared 平方智能

  CIBC

  Bank of Montreal

  BMO Financial Group

  TD Bank Group

  Toronto

  Canada Area

  1.\tBenchmarked and validated quantitative models

  including market and (retail and commercial) credit risk\n2.\tSupervised analysts conducting various vetting projects\n3.\tAssisted executives (VP) on ad-hoc research projects

  such as measuring liquidity premiums of different risk ratings under stressed economic conditions

  Manager

  Model Risk and Vetting

  Bank of Montreal

  London

  Honourable academic appointment

  Adjunct Professor

  University of Western Ontario

  Toronto

  Canada Area

  1. Reported directly to executives (VP/AVP) as a domain expert on quantitative risk modeling as well as conducted requested ad-hoc research projects\n2. Conducted validation on both regulatory and economic capital models for as market risk

  credit risk

  interest rate risk on banking book and operational risk\n3. Developed economic capital models for insurance business and DB plan\n4. Managed quantitative analysts

  Senior Manager

  TD Bank Group

  Toronto

  Canada Area

  1. Domain expert in econometrics and private assets' class. \n2. Private asset

  such as private equity and commercial real estate\n3. Asset allocation\n4. Design and develop a simulation tool/dashboard for evaluating global macro tilting strategies\n5. Multi-asset class modelling

  including credit

  equity and real estate\n6. Smart beta strategies and factor modelling\n\n

  Senior Associate / TPM

  CPP Investment Board

  Toronto

  1)\tProviding statistical and data science consulting services to companies.\n2)\tClients include BMO Financial Group

  and several startup companies.

  Principle Consultant

  EMA Consult Inc.

  Toronto

  Canada Area

  Conduct innovative research on applied artificial intelligence

  digital wealth management

  and alternative investments.

  Co-Founder

  AI Squared 平方智能

  1.\tDeveloped segmentation/score card models for residential mortgages\n2.\tDeveloped methodologies to estimate Basel credit risk parameters

  such as PD and asset correlation\n3.\tPromoted to Senior Quantitative Analyst in Feburary 2008

  CIBC

  University of Toronto

  Toronto

  Canada Area

  1. Teach time series analysis and supervise graduate research projects\n2. Selective topics taught in the course include\n (1) Autoregressive integrated moving average (ARIMA) model\n (2) Transfer function noise model\n (3) Vector autoregressive model and cointegration (multivariate time series)\n (4) State space model and Kalman filter\n (5) Introduction to bootstrapping time series\n (6) Bagging and Boosting in time series with application to big data\n (7) Time series modelling with Google data\n (8) Application of neural network in time series analysis\n\n3. Topics of past supervised projects include\n (1) Dynamic asset allocation using recurrent reinforcement learning \n (2) Stress testing credit portfolios

  including credit cards and residential mortgages\n (3) Pairs trading in stock markets\n (4) Implementing Holt-Winter exponential smoothing models using C#/VBA\n (5) Forecast real estate markets using macro variables\n (6) Time series forecasting with Google data\n

  Sessional Lecturer

  Time series analysis

  Acted as a consultant role helping BMO’s Model Validation Group for urgent and complex projects

  including IFRS9/CECL modeling and monitoring framework

  Retail AIRB methodology and validation guideline

  Economic capital modeling for defaulted accounts

  and Gradient boosting model for segmenting US mortgage portfolios.

  BMO Financial Group