Yanwen Shang is currently a Director at Citi, leading a team responsible for model development and implementation for counterparty credit risk and wholesale capital in the Enterprise Risk Management. His team consists of multiple branches covering model development, implementation, and system integration for capital-based stress loss limits and economic risk capital calculation engine, as well as production and client supports. Before that, he has worked in the financial industry as a quantitative model developer for over ten years with extensive experiences in a range of products and processes including security financing transactions, prime finance, market risk and trading book issuer risk, CCAR, FRTB, stress testing, and economical risk capital.
Prior to joining the financial industry, Yanwen had worked as a research scientist in theoretical physics focusing on the most fundamental questions about the structure of our universe, ranging from chiral symmetry breaking at the smallest scale to the modification of gravitational theory and the acceleration of the cosmic expansion at the largest scale. He holds a Ph.D. in theoretical physics from NYU. The training and research experience in theoretical physics allowed Yanwen to build a solid knowledge base in advanced mathematics and to acquire the outstanding quantitative analysis and problem-solving capabilities, which enabled him to succeed in the financial industry.