Enping Zhao

• Analyzed model risks of agency MBS pass-through pools and To-Be-Announced (TBA) securities. Performed regressions on empirical risks and hedge ratios between pools and TBA. Researched the payups of TBA delivery eligible pools
• Worked on model impact on the VaR of agency MBS book. Developed tool for VaR attribution at individual security level

Head of Mortgage Modeling and Analytics

• Designed and developed, from scratch, comprehensive mortgage analytics system, which is the official analytics platform for trading, research and risk management in mortgage and asset-backed securities and their credit default derivatives at Merrill Lynch.

• Re-factored Merrill Lynch’s prepayment model to improve its robustness, consistency, and capabilities for implementing trading strategies. Developed optimization schemes for refinement of prepayment forecast for specific agency MBS vintages.
• Built default model for subprime mortgages. The model used market prices of ABX indices as the primary driver for calibration and was used in valuation of Merrill Lynch’s holdings of collateralized debt obligations backed by subprime mortgage backed securities.
• Worked directly with senior management in a strategic project for CDO valuation and resolution. Designed and developed cash flow based CDO model which deals with the complexity of recursive nature of CDO assets.

• Developed prepayment model for mortgage backed securities, a complex econometric model that predicts future prepayment behavior of mortgage holders. Designed and implemented the prepayment model. Carried out research in econometric modeling of macroeconomic variables.

• Played critical supervisory role in integration of prepayment into analytical system of mortgage backed securities and development of on-going maintenance processes of MBS analytical system.

• Worked on the proprietary trading desk with focus on prepayment modeling for specific products. Built models with respect to loan size distributions for specified agency pools.

• Worked on research and strategies for mortgage and asset backed securities.
• Worked closely with mortgage trading desk and risk management team for their needs for collateral performance and analytics issues.
• Worked on research and analytics in interest rate derivatives.

Developed the new strategic cross-products analytics system which will replace the current quantitative analytics systems of Barclays. The core components are built with C++. The system is built to support applications in various programming languages, such as C++, C#, Java and Python.

Managed the team responsible collateral modeling and analytics for securitized products.

• As lead modeler, designed and developed prepayment model for agency MBS, including data mining, empirical research, model structure, calibration, back testing,integration into MBS valuation and risk system, on-going monitoring and adjustment.
• Developed comprehensive and efficient collateral aggregation scheme for prepayment model purpose for CMOs. The scheme reduced computational time multiple folds without material loss of accuracy. Such scheme was critical component of prepayment modeling for agency MBS in practical trading business.
• Supervised development of loan transition model for prepayment and default of collateral underlying non-agency RMBS, including home price model.
• Supervised development of credit model for commercial mortgages using forecast of the net operating income.
• Designed and developed model for performance of reverse mortgages.
• As the primary architect, led the design and development of quantitative analytics for securitized products from ground up. Integrated into analytics system the prepayment models for agency mortgage backed securities, non-agency mortgage backed securities and commercial mortgage backed securities.
• Led the efforts to document all models for securitized products to meet regulatory requirements (SR11-7 standards) for CCAR and IHC.
• Developed CCAR models for securitized products for global market shocks (GMS), issuer default losses (IDL), 3D Stress and PPNR for agency MBS banking books.
• Worked with risk managers on VaR impact by changes to models of securitized products. Coordinated with model risk management team on releases of such model changes.
• Developed system for valuation and risks for the impairment analysis and marking for Barclays Capital legacy principal investment portfolios. Advised the trading desk on issues of modeling, analytics and risks.

• Worked in research in mortgage backed securities. Supported trading desk in valuation and risk management. Worked on analytical system for mortgage backed securities.

• Worked on ARM prepayment model.
• Designed and implemented models and systems for mortgage backed securities analytics, including the option adjusted spread (OAS) model, cash flow models, and various valuation measures.
• Designed and developed models and research and analytical framework for whole loan trading and principal finance business.
• Designed and developed models and portfolio management tools for mortgage collateralized debt obligation (CDO) business.
• Worked on structuring and modeling of commercial mortgage backed securities (CMBS).

• Designed and implemented product database for agency mortgage backed securities (MBS) business. Developed procedure for monthly agency MBS prepayment model update.
• Developed cash flow models for various instruments of mortgage backed securities.
• Worked on collateralized mortgage obligation (CMO) structuring systems and deal maintenance facilities.

PhD candidate, ABD

PhD candidate