Dr. Siyi Zhou holds a PhD degree in quantitative finance at Imperial College London, and a MSc degree in Actuarial Mathematics at Herriot-Watt University in Edinburgh. He is currently heading the Group Model Validation team in Emirates NBD Bank based in Dubai, UAE.
Before joining Emirate NBD, Siyi had worked for various tier one financial institutions in London, including HSBC, Moody’s Analytics and Fitch Learning. He has been continuously teaching many lectures in CQF for more than 10 years.
Having completed years of applied mathematical and statistical training in internationally top ranked universities, Dr. Siyi has developed a wide range of computational and modelling skills in stochastic calculus, PDE, numerical methods in finite difference and Monte Carlo simulation, statistical modelling such as survival analysis, generalized linear regression, multi-dimensional time series modelling such co-integration and VECM, MLE and Bayesian estimation, PCA and factor analysis. Recently he also extended his portfolio to Machine Learning including supervised and unsupervised learning.
In addition to his academic background, Dr. Siyi is an experienced practitioner in banking industry specialized in financial risk management. He has implemented and / or developed various valuation and risk management models for different asset classes such as equity, fixed income, structured credit products and those exposed to counter-party credit risk. He is also an expert in credit portfolio risk management for banks where he is able to quantify portfolio value / loss distribution which in turn forms the basis of optimal asset / capital allocation. Many of his work involves market and credit risk modelling for regulatory capital guided under Basel Committee, and for audited impairment charge regulated under IFRS 9 by IASB.