Wei Xia 夏威

Current

Researcher at Aspect Capital

Past

Excutive Consultant at PwC
Quant Developer at Winton Capital Management

Education

Birkbeck, U. of London
The University of Reading
University of International Business and Economics

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Connections

43 connections

Industry

Capital Markets

Websites

My Website

Wei Xia 夏威’s Experience

Researcher

Aspect Capital

(Privately Held; Investment Management industry)

October 2007 — Present (1 year 10 months)

• Responsible for the research and development new trading strategies for the proprietary automated trading system.
• Develop new risk methodology to enhance the control & monitoring of trading risk.
• Risk review new strategies and improvements to existing trading system.
Excutive Consultant

PwC

(Partnership; 10,001 or more employees; Capital Markets industry)

May 2006 — September 2007 (1 year 5 months)

Wei is highly experienced in the areas of quantitative financial risk management and has modelling and pricing skills on a wide range of derivative products. His experience includes working with banks and hedge funds. Wei has good programming and financial modelling skills using Excel, VBA and C++ that he developed and applied in the fields of Portfolio Management, Risk management and Derivative Valuations. Wei also has a very good understanding of Basel II through his PhD study in Market, Credit and Operational Risk management.

Particular areas of expertise include:
• Basel II risk framework
• Market risk measurement and management in financial institution
• Credit risk measurement modelling
• Credit risk system validation
• Operational risk control and quantification
• Financial product valuation including many base classes and derivatives
• Portfolio management
• Computer based commodity trading strategy research and development
Quant Developer

Winton Capital Management

(Partnership; 51-200 employees; Investment Management industry)

July 2004 — October 2005 (1 year 4 months)

Responsibilities:
• Responsible for the development, enhancement and maintenance of risk measurement models and a comprehensive reporting system for new and existing products.
• Building market risk models for Value at Risk purposes using the historical simulation methodology, the variance-covariance methodology and Monte Carlo simulations.
• Carried out extensive model validation tests based on FSA market risk models.
• Produce alternative risk measure reports based on Extreme Value Theory.
• Back testing of working models and optimization of existing algorithms if necessary.

Achievements:
• Build an automated risk measurement and reporting system based on J.P.Morgan’s RiskMetricsTM with the ability to produce daily VaR report on a batch mode for over 100 accounts within the Hedge Fund.
• Conducted rival analysis based on other hedge funds’ performance data and large scale data cleaning and inspection on volume data of over a hundred future products from CSI and Bloomberg.

Wei Xia 夏威’s Education

Birkbeck, U. of London

PhD , Quantitative Finance , 2002 — 2007
The University of Reading

MSc , International Securities, Investment and Banking , 2001 — 2002
University of International Business and Economics

BSc , International Finance , 1997 — 2001

Activities and Societies:

The Chairman of the Society of International Trade and Economics 1999-2000
The Chief editor of University of International Business and Economics (UIBE) Selected Essays on International Trade and Economics 1999-2000
The Director of Trombone department in university band 1999-2000
The Director of academic dept. in Student Union 1998-1999