CURRICULUM VITAE
XU Su
Phone: (704)542-3415
Email: suxu9999@yahoo.com
Summary
 Have built an Equity Specific Risk model through math and statistics.
This model saves huge economic capital for the bank.
 Have established a math theorem that describes a gravitational
attraction on an inner body from a surrounding axially symmetric
homogeneous ellipsoidal shell with non-equal flattenings at the two
surfaces. This theorem extends one of famous Newton’s theorems to
the general case. (see below for details).
 Over 10 years of modeling research experience, with 8 papers (of modeling research in physics) published
on the top magazines cycled internationally. Have been recognized as an outstanding researcher by
American Government.
 More than 10 years of quantitative experience in finance and physics with C/C++ and Java on Unix
and/or DOS/Windows, which includes but does not limit to Object Oriented Analysis and Design, and
implementations of financial models and physics models with Templates, STL, J2EE, JDBC, servlet,
and EJB beans.
Employment History
1. Quantitative Methodologist/Vice President, Wachovia, March 2003 – present

Validating models of interest rate derivatives (bond futures, bond options, swaps, caps/floors,
swaptions) and credit derivatives (CDS, CDO, TRS, CSO, etc), and making sure that risk
calculations for Greek letters, probability of default, default correlation be correct.

Validated various price/risk TIPS models for bullet bonds, callable/putable/sinkable bonds, multicoupon securities, inflation project securities (IPS), and foreign bonds. They are traded either cumcoupon or ex-coupon. Added a functionality to TIPS models to handle flat trade bonds as the TIPS
models do not support the flat trade bonds. Since TIPS models use YTM to discount cash flows of
callable/putable bonds, I added a functionality to discount cash flows of callable/putable bonds
using YTW, which makes risk results (Macaulay duration, modified duration, convexity, and DV01)
match with Bloomberg.

Analyzing bad data in database and providing correct data for the Security Build Group to update.

Integrating/integrated various price/risk models into JRisk system;

Mapped FISTS securities to Jrisk system
2. Quantitative Developer, A.G. Edwards & Sons, Inc. September 1998 – April 2003

Estimated credit risk such as probability of default, loss given default, default correlations, and
credit VaR.

Priced credit derivatives - credit default swaps (CDS) and collateralized debt obligations (CDO)
(using copula models).

Valued interest rate derivatives: (1) valued the options on fixed income securities and interest rate
futures. Implemented Black formula in a world that is forward risk neutral with respect to a zerocoupon bond, to value European options; implemented the binomial tree to value American
options. Numerical procedures were implemented with C++ programming. Delta and gamma
hedging as well as vega, theta, and rho hedging were considered; (2) valued bond futures/forwards
contracts and (3) valued interest rate swaps.

Calculated VaR (Value at Risk) using quadratic model, historical simulation, and Monte Carlo
simulation.

Priced the fixed income securities and interest rate instruments via C/C++ programming: (1) priced
option-free fixed income securities using the bootstrapping methodology with the zero-volatility
spread. Constructed the theoretical spot rate curve (term structure of the interest rates), then
calculated the discount function from the theoretical spot rates, and then determined the present
value of any default-free fixed income securities. Interest rate risk such as duration (Macaulay
duration and modified duration), convexity, and DV01 were calculated as well. In valuing cooperate
bonds, a term structure of credit risk or equivalently a zero-coupon credit spread were
incorporated; (2) priced the fixed income securities with embedded options and whose cash flows
are interest rate path independent, such as callable and putable bonds. The binomial tree
methodology was used to construct a binomial interest rate tree and modifications of the cash flow
at a node were considered by taking into account the call/put options. The option-adjusted spread
(OAS), effective duration, and effective convexity were determined as well. Other interest rate
securities, such as multi-coupon bonds, interest rate caps and floors, range notes, and sinking
fund bonds have also been valued by the binomial tree model; (3) priced the fixed income
securities with embedded options and whose cash flows are interest rate path dependent, such as
MBS, CMO, and some of ABS. The Monte Carlo simulation methodology that involves randomly
generating many scenarios of future interest rate paths based on some interest rate volatility
assumption and the future term structure of interest rates, was adopted. The cash flow on each of
the interest rate paths is discounted by the spot rates on that path to get the present value. The
theoretical value of a security is the average of the present values over all the interest rate paths.

BondExplorer – This Web application was designed to provide the A.G. Edwards financial
consultants with an easy-to-use interface for searching, buying/asking and selling/biding bonds. It
was developed with Java EJB and Servlet on server side, and GUI with a calculation engine on
client side. A user can input a bond price to calculate various yields (YTM, YTC, YTW, and current
yield), vice versa. Accrued interest and annual income can also be calculated. The user activities
such as “buy”, “sell”, “bid”, “inventory search” and so on are logged into database and are
retrieved with Metrics tool consisting of HTML, JavaScript, XML/XSLT, Servlet and EJB.

Bond Viewer/Updater – This enterprise web application provides Bond Department to view and
update the taxable bonds. JSP, EJB beans, and Struts/ MVC (Model-View-Controller) framework,
were adopted to design and develop the application.
3. Post Doctoral Researcher, Saint Louis University, July 1996 – August 1998

Modeled the Earth as a triaxial ellipsoid consisting of the solid mantle, fluid outer core and solid
inner core. Due to the gravitational and pressure coupling among the three components, the
mantle and inner core do not rotate at the same angular velocity. Numerically simulated the
coupled rotation of the mantle, outer core and inner core by nine coupled differential equations.
The numerical solution through C++ programming reveals that the inner core has a super rotation
with respect to the mantle and that the mantle rotation oscillation period varies between 4 and 18
years depending on the choice of triaxiality model.

Analyzed more than two years of gravity data from the superconducting gravimeter CO24 at the
National Oceanic and Atmospheric Administration’s Table Mountain Geodetic Observatory (TMGO)
near Boudle, Colorado. Several data analysis techniques implemented by C programming were
used to get rid of noise, instrument influence and tide effects.

Set up and maintained a web site for the Global Geodynamic Project (GGP) with HTML and Java
applet.

Teaching physics and math.
4. Research Assistant, York University, Toronto, Canada, January 1991 – June 1996

Established a math theorem that describes a gravitational attraction on an inner body from a
surrounding axially symmetric homogeneous ellipsoidal shell with non-equal flattenings at the two
surfaces. This theorem extends one of famous Newton’s theorems to the general case. Newton
theorem states that the gravitational attraction on any internal point from the surrounding shell
with identical flattening of the inner and outer surfaces, vanishes. Applying my theorem to the
Earth interior led to a large inner core gravitational torque, compared with the other coupling
torques such as electromagnetic torque, viscous torque and pressure torque. The large
gravitational torque plays a very important role in the inner core rotation.

Designed and operated a two-body model consisting of the axially-symmetric inner core and the
rest of the Earth, and a three-body model consisting of the axially-symmetric inner core, outer core
and mantle. The coupled angular moment equations were calculated numerically from C
programming, and the resulting time series were used for the spectral analysis. The two models
produced the equivalent results – the inner core was determined to have two wobble modes, a long
period (more than 1000 days) of wobble and a nearly one day wobble.

Derived the gravitational coupling torques resulting from a triaxial ellipsoidal Earth model.
Gravitational coupling torque within an axially symmetric ellipsoidal Earth model acts along “line
of nodes”, i.e., orthogonal to axes of symmetry. In a triaxial Earth model, small deviations from
axial symmetry modify the torques in direction as well as magnitude. While triaxiality has a
negligible impact on coupling considerations along the line of nodes, it creates gravitational
coupling along orthogonal directions that have not been previously investigated.
5. Senior Researcher, State Seismological Bureau, Beijing, China, September 1986 – December 1990

Acquired the acoustic events (AE) in a loaded rook sample, mathematically modeled the AE event
travel time, took the coordinates of the AE event hypocenter and the three components of P wave
velocity as unknown parameters, and set up a set of residual equations for joint inversion. The
implementation of the model with C programming reveals that the estimated localizations matched
with those from the experiment.

Created a new calibration method by which a seismic system was calibrated in the state of small
ratio of signal-to-noise (S/N). A seismic system was modeled as a black box, the correlation
technique was adopted, and a Monte Carlo simulation was made. The results from the simulation
by C programming showed that the calibration method with the small S/N ratio is interesting and
practicable.

Did seismic data analysis and earthquake predication through C programming.
6. Teacher, Anhui University of Technology, Huainan, China, January 1982 – August 1983
Education
Ph.D. in Physics, York University, Toronto, Canada, 1996
MS in Geophysics, Institute of Geophysics & Graduate School of the Academy of Sciences of China,
Beijing, China, 1986
BS in Physics, Anhui University of Technology, Huainnan, China, 1982