Model risk & stress testing
Validation, scenario design, and stress tests you can rerun next quarter and get the same answer.
Stress tests
溫故知新
Nelson Mu
I am an analyst at a multiasset fundamental long/short hedge fund, with a special focus on building AI-native workflows that utilize agents effectively, and improving risk & stress models.
nelson@work
shell
tape
arxiv
demos
What I do
Agentic research workflows
Research, data and reporting structured into versioned, testable workflows that agents can run.
WorkflowsFinancials
Banks and financials: deposits, credit, capital, measured point-in-time.
Financials workread the tape
SPY ···XLK ···XLF ···KRE ···XLE ···
nelson@work:~$ ls work/
Work
- 01Bank rate-shock and capital tests2026 Securities marks to AOCI to CET1 under key-rate shocks.
- 02Validation gates2026 Nulls, multiple-testing bars, known-answer checks, pre-registration.
- 03Agentic research workflows2026 Structured prompts, verification checks and reproducible scripts for fundamental and quantitative research.
- 04Point-in-time data panels2026 Every fact dated by when it became knowable. A security master that survives renames and delistings.
- 05Unattended daily pipelines2026 Agent-run jobs, safe to rerun, watched by an independent monitor.
- 06Financials data platform2026 Call reports, XBRL and prices joined point-in-time; banks, insurance, REITs, semis.
now
On the bench
Agent-run daily pipelines, point-in-time bank fundamentals, rate-shock tests.
silent failure
Netflix is not an ETF
A name filter that matched the substring “etf” also matched Netflix.
nelson@work:~$ ls tools/ demos/
Interactive tools & demos
Live quantitative regime & credit monitors, bank peer & county maps, real-time macro nowcasts, and interactive stress-testing demos.
demos/ · stress lab
Interactive demos & bank rate-shock lab
Runnable versions of the research tools, securities duration & AOCI-to-CET1 stress calculator, and supporting workflow modules.
open demos/ interactive viewer · rate-shock lab · supporting tools →tools/map/ · [LOCKED] 🔒
Bank map & 350-bank peer relations
Unified 350-bank 4-view peer network, Q3 read-throughs & multi-charter Call Report concentration alerts alongside US county branch & lending maps.
open map/ 350-bank peer relations · CRE/Ag/NDFI concentration · county lending · [LOCKED] →tools/dashboard/ · [LOCKED] 🔒
Market regime, AI buildout credit & macro nowcast
Cross-asset regime monitor, 4-tier AI buildout credit & NDFI tracker, and real-time GDP nowcasts with 80% split-conformal bands & Taylor rules.
open dashboard/ regime · AI buildout credit · GDP nowcast · [LOCKED] →nelson@work:~$ cat arxiv/
Recent papers
arXiv: q-fin, econ
- Fetching…
nelson@work:~$ open thesis.pdf
Thesis
MSc Economics, LSE, 2026.
The Sectoral Effects of Volatility Shocks
A residual synthetic control analysis of equity market reallocation.
When implied volatility jumps, does the whole market fall, or does money move between sectors? Weekly sector-minus-SPY outcomes around large VIX shocks, synthetic-control counterfactuals per sector, and a residual synthetic control that screens covariates and conditions on market state.
慕
residual synthetic control
VIX shocks
sector reallocation
permutation importance
AugSynth benchmark
event study
nelson@work:~$ whoami
About
I work between fundamental research and quantitative modeling: bank balance sheets, stress tests and the statistics that decide whether a result is real, plus the data panels, pipelines and agentic workflows that make the work rerunnable.
MSc Economics at LSE; economics and statistics at UC Santa Barbara. Fluent in English, Mandarin and Spanish.