Wenzhao Yu

1-217-***-****

acbnn9@r.postjobfree.com

EDUCATION

UCLA, Anderson School of Management Los Angeles, CA

Master of Financial Engineering Dec 2013

• Mathematics: stochastic processes, Ito’s lemma, Black Scholes model, jump process

• Econometrics: PCA analysis, ARMA/GARCH models, time series analysis

• Fixed Income: duration and convexity, CIR, Vasicek, bond options, interest rate swaption, Caps & Floors pricing

• Statistical Arbitrage:

Covariance matrix shrinkage, VWAP, alpha aggregation, optimization, backtested a long short four

alphas statistical arbitrage strategy on European stocks from 1998 to 2002

• Numerical methods and simulations:

Least squared Monte Carlo for American options, binomial/trinomial tree, finite difference method

• Research Project in Derivatives:

Implemented straddles strategy on small capitalization stocks around EADs, conducted research on the

behavior of implied volatilities of at the money options

University of Illinois at Urbana-Champaign

Champaign, IL

B.S. with double major in Actuarial Science and Applied Mathematics May 2012

• High Distinction in Actuarial Science and High Distinction in Mathematics

• Worked as grader and tutor for Linear Algebra class for three semesters

EXPERIENCE

Pacific Life Insurance Company Newport Beach, CA

Quantitative Analyst Intern, Risk Management Department Jun 2013 Sep 2013

Performed risk attribution and analysis on variable annuities’ liabilities using SQL

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Reconciled two economic scenarios generator systems and back tested for convergence purposes

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Participated in the new GAAP development process and validated the model

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Projected quarter end GAAP reserve based on different equity market shocks

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GF Securities Company LTD (top 10 investment bank in China) Guangzhou,

China

Financial Engineer Summer Intern Sep 2012

Implemented Granger causality test and other statistics tests on usefulness of major macroeconomics

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indexes in forecasting metal industry stock returns

Built a multiple variable model to forecast returns using Matlab

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Employed Black Litterman model to develop a stock portfolio

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Collaborated with co workers on model adjustments and improvements, composed investment report and

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justified the result

Bank of China Guangzhou, China

Corporate Banking Intern Jun 2012 – Jul 2012

Evaluated financial statements and reviewed data to derive credit ratings for automobile companies

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Collaborated on loan issuance services and funds transfers, dealt with relevant files and receipts

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• Assisted in setting up meeting with customers, followed up with customer’s requests regarding accounts annual

inspection that required by Bank of China

ACADEMIC RESEARCH EXPERIENCE

University of Illinois at Urbana-Champaign Champaign, IL

Financial Researcher Jan 2012 May 2012

Researched academic journals and publications, investigated their methods to valuate Medicaid benefits

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Gathered Medicaid coverage, benefit data and specific requirements from the Current Population Survey and the

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Medicaid Statistical Information System

Compared income, asset thresholds and services required by U.S government from 1970 to 2012, built a model

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to evaluate Medicaid generosity, adjusted the model for inflation

Employed the model to evaluate the long run welfare of nine U.S states after hurricanes

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SKILLS

Cleared CFA1, cleared Society of Actuarial Exam: 1/P, 2/FM

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Proficient in Matlab, SQL, R, SAS, MS Excel, VBA, MS Access, C++

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Chess (Rank 1900), Bloomberg Certification

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