Jonathan Wang PhD, CFA, CAIA, CMT, CAMS

Experience

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  North Carolina State University

  Aug 2005 - May 2010

  Teaching Assistant

  Served as instructor for undergraduate mathematics courses for all levels of CalculusDesigned and implemented class plans for calculus coursesSupervised and mentored undergraduate students to think and work independently

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  The Observatory

  Sept 2010 - May 2011

  Quantitative Intern

  a family office with about $1 billion of assets invested in a variety of assets, strategies and managers globally; worked directly with Director of Asset Allocation and RiskManaged large amounts of data for quantitative analysis with MatlabDeveloped and improved tools in Matlab used for manager evaluation and screeningPerformed extensive calculations of traditional & post-modern investment statistics such as volatility, tail risk or (Conditional) Value at Risk (VaR/CVaR), liquidity risk, Sortino ratio, Calmar Ratio, Omega Ratio, Rachev Ratio, first order auto-correlation, stress tests, JB test, LBQ test, LM test, etc. Revised code to substantially accelerate computations of large datasets by optimizing design & efficiently utilizing available memory and features in Matlab, resulting in 90% reduction of computation timeDeveloped and improved reporting of results in Excel and WordCompiled applications for distribution to team members without MatlabCreated a simulation tool to estimate potential risks and opportunities for various markets and portfolios by using copulas and accounting for tail risk and volatility clustering (various GARCH models with t-distribution)Implemented certain calculations (e.g. VaRs and ratios) in C++ in an effort to further reduce computation time Show less

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  BB&T

  Jun 2011 - Jan 2018

  VP, Quantitative Team Leader

  Worked on dynamic enterprise-wide Economic Capital (EC) models and risk-adjusted performance measurements;Worked on Maturity Rate Model (MRM), which introduces cash flow types, term and age structures to expected loss and economic capital rates;Worked on Macro Factor Mapping (MFM) Models, which create scenarios for macro factors used in CCAR models;Worked on Loan Portfolio Optimization model with Portfolio Strategy and Limits (PSL) team;Worked on Comprehensive Capital Analysis and Review (CCAR) loan level models; Worked on BSA/AML models (watch list filtering, client risk rating, and transaction monitoring) Show less

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  Self employed

  Feb 2018 - Apr 2020

  Quantitative Investor/Trader

  Built tools to automatically retrieve and manage transaction data, economic data and medium newsBuilt tools for stock trading, analysis, and risk management and built Python libraries

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  Truist

  Apr 2020 - Nov 2024

  VP, Quantitative Model Development Officer

  Built machine learning models for segmentation and transaction monitoringWorked on SAS AML model for transaction monitoringWorked on Enigma Client Risk Rating (CRR) modelWorked on Enigma Screens model for sanctions screening

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  Pinnacle Financial Partners

  Nov 2024 - now

  Quantitative Analyst

  Work on asset and liability management (ALM) models