Bill Cao serves as a Senior Vice President at Citi, where he leverages his extensive expertise as a quantitative analyst in a dynamic trading floor environment. His primary focus is on the FASB Hedge Program trading strategy, where he plays a pivotal role in interest...
Bill Cao serves as a Senior Vice President at Citi, where he leverages his extensive expertise as a quantitative analyst in a dynamic trading floor environment. His primary focus is on the FASB Hedge Program trading strategy, where he plays a pivotal role in interest rate risk management, PnL analysis, trade pricing, and the design of innovative hedge programs. Bill's analytical acumen is particularly evident in his deep involvement with Citi's Libor/SOFR Transition process, where he is instrumental in building sophisticated pricing models and conducting comprehensive conversion PnL and risk impact analyses.
In his current role, Bill is responsible for FASB hedge capacity analysis and mark-to-market PnL reporting across a diverse range of financial products, including USD and Non-USD Available-for-Sale (AFS), Held-to-Maturity (HTM), foreign exchange (FX) hedges, mortgage-backed securities (MBS), and credit products. His expertise extends to economic value reporting related to basis risk and swap spread risk volatility, ensuring that Citi remains agile in a rapidly evolving market landscape.
Bill's contributions also include the design and implementation of a prototype for the SOFR loan cash flow hedge program, showcasing his ability to navigate complex financial instruments and regulatory changes. His proficiency in hedge accounting, financial modeling, and risk management is complemented by advanced skills in tools such as Tableau, Microsoft Excel (including VBA), and Bloomberg Terminal. With a strong foundation in derivatives and fixed income, Bill Cao continues to drive strategic initiatives that enhance Citi's risk management framework and optimize trading strategies.
