SEOKJIN YUN
Business Analysts, Quant, Dealer
Seoul,11
Summary
< Professional Summary >
1. Business Analyst Consultant with expertise in FICC derivatives pricing and risk management at RiskX (Numerix Korea).
2. Proficient in Python and C++, I developed innovative pricing solutions and enhanced portfolio risk strategies.
3. Strong quantitative analysis skills complemented by effective collaboration with financial engineers to deliver impactful results in complex financial environments.
Overview
6
6
years of professional experience
Work History
Analyst Consultant
RiskX (Numerix Korea)
07.2023 - Current
- Working with Financial Engineers to build and benchmark Trade and market templates.
- Provided FICC derivatives pricing solution services to front and middle offices of some banks and securities companies.
- Calculated and provided values for Initial Margin and FRTB of various over-the-counter derivatives such as EQ, IR, CMDTY and CR.
- Implemented ISDA RFR conventions into structured notes and swaps engines.
Dealer, Risk Manager
Meritz Securities
10.2021 - 07.2023
- Pricing MTM and sensitivities of FICC derivatives such as IRS, CRS for managing portfolio risk. (total team profit of 2022: 50Million $)
- Managed the life-cycle of the over-the-counter derivatives.
- Exchange collaterals for over-the-counter derivatives transactions with other foreign companies.
- Have done other miscellaneous works as a junior dealer.
Quantitative Analyst
Korea Asset Pricing
09.2019 - 10.2021
- Created some pricing logics for new type equity derivatives products with C++ engine using Quantlib.
- Managed batch programs for automated calculating of derivatives products.
- Maintained & validated the effectiveness of SIMM calculation engine for over-the-counter derivatives.
Education
Master of Science - Financial Engineering
Ajou University
Suwon, South Korea 04.2001 -
Bachelor of Science - Financial Engineering
Ajou University
Suwon, South Korea 04.2001 -
Skills
Python, C
SQL
Microsoft Excel & VBA
Git & SVN
Quantitative analysis
Timeline
Analyst Consultant
RiskX (Numerix Korea)
07.2023 - Current
Dealer, Risk Manager
Meritz Securities
10.2021 - 07.2023
Quantitative Analyst
Korea Asset Pricing
09.2019 - 10.2021
Master of Science - Financial Engineering
Ajou University
04.2001 -
Bachelor of Science - Financial Engineering
Ajou University
04.2001 -
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