Portfolio
A few mountains climbed, some bonds managed, a few systems built, some history of empires read.
I manage bond portfolios in Hong Kong — rates, credit, FX across G10, EM, and Asia. I also built the research infrastructure beneath every position: multi-agent pipelines, sovereign spread monitors, relative-value briefs before the first coffee. Not a side project. The actual workflow.
I've evaluated markets from the other side of the table too — assessing fixed income and derivatives portfolios held by international organizations, advising on how bond auctions distort the curve: futures positioning, cheapest-to-deliver mechanics, primary dealer behavior around issuance windows. That vantage point changes how you manage a portfolio.
It started with the CFETS RMB quoting engine in 2019. Building the system forced a precision about forward microstructure that trading the same instruments couldn't. From that FX engine to today's multi-agent research systems and LLM tooling — not demos. A daily workflow.
Graduate mathematics, Peking University. I read geopolitical history — empires and monetary credibility is sometimes a better macro model than anything on a terminal. Wittgenstein was right: the limits of your language are the limits of your world. In finance, the model you can build is the limit of the risk you can see.
I ride bikes up mountains. The suffering-to-reward ratio is not so different from fixed income in a rate cycle you've misjudged.
RMB spot and forward auto-quoting system for CFETS protocol. In production 2019–2023.
G10 central bank intelligence monitoring. 20+ RSS feeds, LLM-powered risk scoring, issuer auto-alerting. Daily briefings before 06:00 UTC. In live PM workflow since 2024.
Multi-agent macro research system. Bloomberg terminal integration, 12 concurrent agents, MCP server coordination.
Real-time news monitoring and OSINT integration for FICC trading desks.
Replication of 'The Ins & Outs of Chinese Monetary Policy Transmission'. Empirical analysis of PBOC policy channels.
2023 – Present
Large-scale G10/EM/Asia fixed income portfolios — sovereign/SSA, MBS, IG credit. Coordinates investment framework across 30+ overseas entities.
2019 – 2023
RMB and USD rates book — IRS, futures, options, FX swaps, CDS. #1 P&L contributor two consecutive years. Built CFETS RMB auto-quoting engine; FX quoting ranked #1 globally by peers (2021). Led macro research group.
2017 – 2019
Liquidity portfolio management. Designed Asia's first SOFR-linked note — full pricing framework, hedge design, investor roadshow. Built Nelson-Siegel yield curve toolkit.
Concurrent
Appointed expert advisor on a sovereign audit engagement spanning New York, Copenhagen, and Beijing. Evaluated large-scale fixed income and derivatives portfolios. Built quantitative audit methodology using ML and local volatility surface models.
Concurrent
Advised on government bond issuance strategy and yield curve management — futures positioning, cheapest-to-deliver dynamics, primary dealer behavior around auction windows, on-the-run/off-the-run transition timing.
Education
Financial mathematics, stochastic calculus, optimization. Thesis: RNN + time-series models for 50ETF options volatility forecasting (Distinction). Exchange: University of Hong Kong.