Wylie CHAN
Quantitative Risk
Singapore
Summary
Accomplished quantitative finance professional with 15+ years’ experience spanning portfolio management, risk analytics, and technology-driven fund operations. Proven track record in building and managing multi-asset portfolios, developing quantitative strategies, and leading fund setup and regulatory processes. Expertise in Python, risk models, and cross-asset derivatives, with strong academic credentials and a history of delivering superior risk-adjusted returns.
Overview
27
27
years of professional experience
16
16
years of post-secondary education
Work History
Quantitative Portfolio Manager
Self-Employed
08.2022 - Current
- Managed retirement portfolios for private clients on Interactive Brokers, focusing on Sharpe ratio maximization.
- Built Python-based platform for Value-at-Risk (VaR) calculations and risk parity portfolio construction.
- Migrated personal quantitative libraries from Excel VBA to Python, covering mathematics, risk management, and finance.
Quantitative Risk Manager
Graticule Asset Management Asia (GAMA)
11.2020 - 08.2022
- Risk-managed a USD 2B portfolio across all asset classes; collaborated with PMs on position reviews and stop-loss strategies.
- Developed and implemented FX Forward Volatility Agreements (FVA) and spreads strategies.
Risk Analyst
The Rohatyn Group
12.2013 - 05.2020
- Oversaw risk for a USD 500M multi-asset portfolio; enhanced global performance and risk reporting platforms.
- Developed SGD NEER Model and currency baskets using Bloomberg CIX.
- Implemented macro risk models for global economic growth monitoring.
Commodities Trading Desk Support
Bank of America Merrill Lynch
06.2009 - 11.2013
- Supported commodities trading desk with risk applications and spreadsheet tools.
- Collaborated on intraday volatility/gamma scalping strategies for metals trading.
Quantitative Research
Munich Re ERGO Asset Management GmbH (MEAG)
12.2007 - 04.2009
- Supported PMs in quantitative research, P&L validation, prediction, and hedging.
Rates Trading Desk Support
BNP Paribas
04.2006 - 09.2007
- Provided quantitative risk support for fixed income exotic derivatives desk.
Financial Engineering Group
Freddie Mac
06.2005 - 08.2005
- Documented and integrated Black 76 Model for implied volatility in C++.
Combat Officer
Brigade Reconnaissance Company
01.1998 - 05.2000
- Sword of Merit (Top 10%).
Education
No Degree - Deep Learning
Coursera
Online 04.2020 - 01.2021
Certificate in Quantitative Finance (CQF)
Fitch Learning
Online 04.2001 - 01.2012
M.S. - Computational Finance
Carnegie Mellon University
Pittsburgh, PA 01.2004 - 01.2005
M.Eng. - Computer Science
Cornell University
Ithaca, NY 01.2003 - 01.2004
B.S. - Electrical Engineering
Cornell University
Ithaca, NY 01.2000 - 01.2003
Skills
- Python
- Excel VBA
- Streamlit
- Snowflake
- MATLAB
- Bloomberg API
- Interactive Brokers TWS API
- Access
- SQL Server
- Portfolio optimization
- risk models
- derivatives pricing
- VaR
Analyzing investment opportunities
Client interfacing
Investment strategy
Developing proposals
Websites
Performance Track Record
- Testing Period 1, 03/01/19, 11/01/21, Safe strategy, risk monitoring signal avoided COVID-19 drawdown, USD 10,000 → USD 14,894.99 (59.4% over 32 months), 2.13%, 0%
- Testing Period 2, 12/01/21, 12/31/22, Risky strategy with limited downside, exponential upside, USD 10,000 → USD 18,398.80 (84% over 12 months), 8.97%
- Testing Period 3, 11/01/23, 06/30/24, Combined strategies from previous periods, USD 8,808.27 → USD 35,842.11 (476.6% over 8.8 months, with USD 10,007.34 withdrawn), 6.78%
Skills And Certifications
Python, Excel VBA, Streamlit, Snowflake, MATLAB, Bloomberg API, Interactive Brokers TWS API, Access, SQL Server, RES 5: Rules, Ethics, and Skills for Financial Advisory Services (SG, 2023), MAS Modules 3, 5, 9, 9A, HI (Fund Management, Financial Advisory, Life/Health Insurance), Portfolio optimization, risk models, derivatives pricing, VaR
Timeline
Quantitative Portfolio Manager
Self-Employed
08.2022 - Current
Quantitative Risk Manager
Graticule Asset Management Asia (GAMA)
11.2020 - 08.2022
No Degree - Deep Learning
Coursera
04.2020 - 01.2021
Risk Analyst
The Rohatyn Group
12.2013 - 05.2020
Commodities Trading Desk Support
Bank of America Merrill Lynch
06.2009 - 11.2013
Quantitative Research
Munich Re ERGO Asset Management GmbH (MEAG)
12.2007 - 04.2009
Rates Trading Desk Support
BNP Paribas
04.2006 - 09.2007
Financial Engineering Group
Freddie Mac
06.2005 - 08.2005
M.S. - Computational Finance
Carnegie Mellon University
01.2004 - 01.2005
M.Eng. - Computer Science
Cornell University
01.2003 - 01.2004
Certificate in Quantitative Finance (CQF)
Fitch Learning
04.2001 - 01.2012
B.S. - Electrical Engineering
Cornell University
01.2000 - 01.2003
Combat Officer
Brigade Reconnaissance Company
01.1998 - 05.2000
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