SHENGHUA SI, CFA
7018 Metropolitan Pl, Falls Church, VA 22043, USA
Cell: 202 306 8636, Email: shenghuasi@yahoo.com
PROFESSIONAL EXPERIENCE________________________________________________
THE WORLD BANK TREASURY
Washington, DC
Investment Officer in Quantitative Strategy and Risk Analytics
March 2009 - present
 Credit Risk Management System Development and Implementation:
 Participated in the request for information, request for proposal, term of reference, proof of concept and
vendor selection for PFE/CVA and Guideline Monitoring system.
 Modified economic capital charge methodology and specification for vendor.
 Developed user acceptance test plans and cases.
 Coordinated with IT team to deploy PFE/CVA application. Worked with IT system experts to find
integration solution of PFE/CVA with other enterprise systems and databases.
 Performed PFE/CVA system integration test. Managed defect fixing cycle. Coordinated with vendor to
identify root causes of defects, either application bugs, or poor data, or wrong integration specification.
Provided suggested solutions for defect fixing.
 Market Risk: Developed an application using Visual Basic, Excel, SQL, and Bloomberg to generate daily
MBS portfolio risk management report against Barclays Capital US MBS index. Designed and maintained
portfolio month-end rebalancing and FX hedging trade suggestion application in Excel and Access.
 Valuation:
 Proposed market data, curve constructions and valuation methodologies for swaps and swaptions including
interest rate swaps, cross-currency swaps (including notional reset and emerging market non-deliverable
swaps), and inflation swaps.
 Provided solutions for valuation adjustment for imperfect market data construction due to system limit.
This includes tenor adjustment and deriving basis spreads from FX forwards.
 Provided consultation for OIS discounting in swap valuation. Reviewed controller’s implementation
proposal.
 Built models for valuation of hard-to-value bonds and provided prices for month/quarter/year financial
reporting.
 Performance Attribution: Designed and implemented automated reports of portfolios performance attribution
against benchmarks for MBS and G7 mandates.
 Economic Capital: Participated in World Bank Treasury economic capital charge model combining market
risk, credit risk, and operational risk.
 Database Application: Designed and implemented a database for portfolio implementation parameters, such as
benchmarks, risk constraints, allowable issuers and instruments, and sovereign exposures.
 Others:
 Collected IBRD liquidity portfolio financial information for S&P’s annual IBRD credit rating review.
 Participated as an instructor in RAMP fixed-income fundamental and advanced risk workshop.
 Reviewed Colombian anti-money laundry forecasting model by invitation.
FANNIE MAE
Washington, DC
Intern in Model Risk Oversight group
October 2008 - March 2009
 Validated portfolio management system and prepayment model at theoretical basis and historical performance.
BEARINGPOINT, formerly KPMG Consulting
Shanghai, China and United Kingdom
Consultant, Senior Consultant
January 2004 - May 2007
 Designed, implemented global Siebel Customer Relationship Management (CRM) applications for clients
across different industries and countries, such as Eli Lilly, ExxonMobil. Streamlined business processes in
marketing, sales, service; facilitated easy data flows and sharing; improved workflow efficiency. Maintained
strong relations with business department and provided training workshops to end users.
 Provided business process mapping for sales forces in Bao Steel, the leader in the Chinese iron and steel
industry, and Huaxia Bank, a leading joint-stock commercial bank (JSCB) in China, resulting in the buildup of
strategic business relations with these important Chinese firms for BearingPoint.
COMEX TECHNOLOGY Co., Ltd., a leading card and payment solutions provider in Asia
Shanghai, China
Senior Engineer
January 2003 - December 2003
 Led a QA team in building a credit card center for Bank of Shanghai. Coordinated three full rounds of system
tests and stress tests focusing on credit card loan interest accumulation model, financial accounting module,
transaction authorization with VISA and MasterCard. Achieved 700K issued cards and 20K daily transactions
within 3 months after the system became operational.
NAVION SOFTWARE DEVELOPMENT Co., a Capital One company
Shanghai, China
Software Engineer
July 2001 - December 2002
 Delivered automated testing solutions using Java scripts for Capital One’s call center application in Richmond
VA, which shortened the system testing cycle to one fifth of the time for previous manual cycles, reduced
testing man-hours by 90 percent, and improved execution precision.
EDUCATION_________________________________________________________________
GEORGE WASHINGTON UNIVERSITY, School of Business
Master of Science in Finance, GPA: 4.0/4.0
FUDAN UNIVERSITY
Bachelor of Science in Electronic Engineering
Washington, DC
August 2008
Shanghai, China
July 2001
SKILLS______________________________________________________________________
Certifications
Languages
Programming
CFA (2008), FRM (2010)
Native Mandarin Chinese and Cantonese
Advanced Excel, Visual Basic, VBA, SQL, MATLAB, Access, and Bloomberg; basic SAS