Dr. Tian Li
I am currently a data scientist working in financial industry. I have many years of experience of building financial and predictive models.
|2002 – 2005||Doctor of Philosophy in Computing and computational mathematics
La Trobe University, Australia
Thesis topic: Parallel algorithm to high-dimensional integration based on semi-Monte Carlo lattice rule method.
|1994 – 1997||Master of Science in Computational and Applied Mathematics
Soochow University, China
Thesis topic: Use Finite Element method to compute a
Partial Differential Equation derived from Dam Overflow Problem.
|1990 – 1994||Bachelor of Science in Pure Mathematics
Soochow University, China
|Mar 2014 – Present||Senior Data Scientist
Product and Market Support
· Use machine learning and statistical techniques to model home lending pricing, propensity and sensitivity of customers, and product cross-sell.
· Based on probability theory, invented an optimization model for maximizing Return on Equity, and better managing mortgage portfolio.
· Did Time Series Analysis on payment transaction data.
· Association analysis on customer products for better cross-sell strategy.
· Graph analysis, clustering and visualisation on interval report dissemination.
· Text mining and topic modelling on bankers’ comments and internal interviewing data.
Programming Language: SAS, R, JavaSript, SQL, D3
|Aug. 2012 – Mar 2014||Senior Quantitative Analyst
Operational risk modelling
· Inverse Fourier Transformation approach
· Implemented Monte Carlo simulation
· Euler Capital Allocation
· Panjer recursion approach
· Close form capital solution — SLA and improved SLA.
· Copula dependence approach — Gaussian, Student t and Levy.
· Loss data distribution fitting
· Bayesian Inference and Markov Chain Monte Carlo.
· Used Expectation-Maximization algorithm to fit truncated loss data.
Programming Language: C++, Matlab, SAS, SQL, VBA and R.
|Feb. 2011 – Present
|Senior Credit Risk Analyst
Credit risk and capital modelling
· Stressed-testing and risk appetite project, introduced Vasicek model for benchmarking stress level.
· Created and implemented an iterative algorithm for LRPD based on Vasicek model.
· Built PD and LGD correlated Model
· Granularity adjustment, Euler Capital Allocation for non-diversified portfolio.
· Designed and implemented cross product alert system.
Programming Language: C++, SAS and SQL.
|Aug. 2007 – Jan. 2011||Senior Software Engineer
● Designed and implemented new functionality of MapEditor, GeoCode server
● Participate in the design and implementation of ORS (Oracle Real-time Scheduler)
● Test ORS products
● Designed and implemented scheduler manager
Programming language: Java, C++ (on Linux) , Perl, Python, Bash Script
|Aug. 2006 – Aug. 2007|| Senior Software Engineer
AirSCAPE, Australia (Mobile Portal)
● Laid out the foundation framework of Airscape Mobile Portal System such as user management, billing system, mobile client, encryption, email and IM, dynamic signing.
● Participated in the design and development of Raptour System such as web service interface and UI.
Programming language: Java, J2ME on Windows, Linux, Mobile Phone.
|Jan. 2004 – Jul. 2006|| Software Engineer
RapidMap Global, Australia
(GIS solutions provider)
● Redesigned and modified ‘TOPO’ (GIS software) Desktop version and Pocket PC version from recreational purpose to professional purpose.
● Implemented conversion tools between ‘TOPO’ data format, GML and Shape format.
● Data synchronization tool.
● Form builder
Programming language: Visual C++ on Windows and Windows CE.
Jan 2001 – Oct. 2002
Ecquaria Technologies Pty. Ltd., China
(e-Commerce and e-Government solutions provider)
Senior Software Engineer and product manager (since Oct. 2001)
● Analysed and designed Webflow Studio.
● Participated in the development of Webflow Studio.
● Managed the development process of Webflow Studio.
● Product management of Webflow studio product.
● Analysed and designed Electronic Data Exchange Gateway Management Console.
● Implemented user interface for Electronic Data Exchange Gateway Management Console.
● Wrote the design engineering documentation and user manual of Electronic Data Exchange Gateway Management Console.
Programming Language: Java on Windows, Linux
Jan. 1996 – Aug. 1997
FEGEN Software Co. Ltd. Beijing, China
(Large-scale computing solutions provider)
● Designed and implemented user interface and graphic presentation for a Vessel Analysis System.
● Coordinated the development process between computing team, UI and graphic team.
Programming Language: Visual C++ and FORTRAN on Windows and Unix.
|Jul. 2008 – Present||La Trobe University
· Parallel computing
· Apply artificial neural network architecture in numerical analysis
· Development of cubature routine.
· Mathematical software
Sep. 2002 – Jan. 2004
La Trobe University
· Designed and developed a series of algorithms for numerical integration based on the theory of lattice rules.
· Designed and developed sequential, multi-core and parallel algorithms for automatic integration routines using C++, FORTRAN, Pthreads and MPI.
· Simulated the resulted algorithm in higher precision environment.
Casual Lecturer and Lab Demonstrator
Lectured and tutored subjects:
· Advanced C++ Programming
· Introduction to Object-Oriented Programming Using Java
· Intermediate Object-Oriented Programming Using Java
· Object-Oriented Data Engineering
|Apr. 1999 – Jan 2001
Soochow University, China
· Lectured subjects of mathematical modelling, Java and VC++.
· Supervised the project of fourth year students majored in applied and mathematical software.
|Apr. 1997 – Apr. 1999||Research Software Programmer and Research Assistant
Hong Kong Polytechnic University, Hong Kong
· Designed and implemented the software of The System of Coordinated Single-Vendor and Multi-Buyers (financial mathematics)
· Participated in the computational project of
“Dam Overflow Problem”.
- R (including shiny), SAS, Java, C++
- Analaytics, Data Visualisation, Mathematical Modelling, programming
- Chinese, English