Manager Marketing

Li Zhu, Ph.D.

*** ********* ***

West Chester, PA 19380

Tel.: 484-***-**** (Mobile)

626-***-**** (Work)

Email: ********@*****.*** or ******@*******.***

PROFILE: Over 15 year working experience in investment companies and

insurance company as Sr. database marketing analyst, Sr. manager

of decision support/CRM, Sr. investment analyst, and most

recently Sr. investment strategist and portfolio risk manager of fixed-

income and derivatives. I am a seasoned investment professional,

effective communicator and presenter, and successful people

manager.

EDUCATION:

Ph.D. in Economics, University of Florida

M.S. in Operating Research, Shanghai University of Economics and

Finance

M.A. in Economics, People's University of China

B.S. in Mathematics and Statistics, East China Normal University

PROFESSIONAL DESIGNATION AND HONORS

CFA Level-III Candidate

Membership of Beta Gamma Sigma - the Honor Society for Collegiate

School of Business, 1996

Graduate Scholarship - University of Florida 1990 ~ 1995

Ford Foundation Fellowship - U.S./Sino Economics Exchange Committee

1986 ~1987

PROGRAMMING and COMPUTER SKILLS

Very proficient in SAS, SQL, Excel and VBA, POINT, FinCad, and

Bloomberg System

EXPERIENCE:

10/2009 ~, Western Asset Management Co., Senior Portfolio Risk

Manager/Modeler,

. Monitoring and managing risk exposure of US TIPS, Global Inflation

Linker, Levered Enhanced Cash portfolio, Absolute Return, and Muni

portfolios

. Setting up the risk tolerance levels for portfolios under different

risk measures

. Researching and deriving the analytics of derivatives, e.g., futures,

options, swaps, and swaptions and measuring counterparty risk

. Hedging negative convexity of mortgage TBA.

. Selecting the benchmark of absolute return portfolios

. Researching the pattern of MBS default burnout, etc.

. ...

04/1999 ~ 04/2009, The Vanguard Group of Investment (VGI)

10/2004 ~ 04/2009, The Risk Management and Strategy Analysis Group, Senior

Investment Strategist/Portfolio Risk Manager with 1 direct report and

several project-oriented reports. Reporting directly to chief investment

risk officer (CIRO) of the company, my main responsibilities include

leading the research and operational projects, reporting the results and

recommendations to the CIRO, the head of fixed-income group, and the

portfolio managers, and providing investment consulting to internal

investment and sale professionals. Specifically, I have

. worked as a member of portfolio management team of Vanguard's Treasury

Inflation Protected Securities (TIPS) Fund and conducted research on

relative value modeling and portfolio strategy evaluation.

o Participated in determination of duration exposure (real yield

and breakeven inflation) for the portfolio.

o Evaluated TIPS deflation floor protection option.

o Evaluated different yield curve strategies for Treasury and TIPS

portfolios.

o TIPS' curve dynamics and the effect of cash neutral duration

strategies.

o Created inflation-carry and seasonality adjusted forward

(future) real yield curves and forward (future) break-even

inflation curves.

o Investigated TIPS return/risk characteristics during auction

seasons and when there is large deviation between CPI

announcement and its market expectation.

o Created live relative value platform for TIPS through Bloomberg

API and implement alpha strategies with the trader.

. worked as the leader of municipal bonds analytic team of 5 analysts

and as a member of muni interest-rate strategy team.

o Analyzed hedging effectiveness of BMA swaps, LIBOR swaps, and

Treasury futures for muni interest-rate risk and implemented the

hedging strategies

o Created and operated a risk model and a performance attribution

model for Vanguard's municipal bond portfolios based on S&P muni

data feeds and the appended Wilshire analytics

o Evaluated Municipal bonds' prerefunding option and the estimated

the likelihood of exercising using logistic regression and

incorporate this measure to the relative value measure of

individual muni bonds

o Tobacco turbo bonds prepayment and duration analysis and

calculated optioned-adjusted duration

o Investigated the relationship between muni curve movements and

market value of secondary convexities, such as deminimus, call

option value, etc. and provided information for muni-rate

strategy meetings

o Factorial analysis of Mob Ratio (muni yield/Try yield) dynamics.

. worked as the leading quant analyst of IG and HY strategy groups in

close collaboration with portfolio managers and credit analysts

o Created and operated a rich/cheap model for corporate bonds

(Lehman universe) and CDS (MARKIT data) at individual security

level and sector level.

o The hedging implication of nonstationarity of CDS basis.

o Hedged OAS risk of floater notes with CDX.

o Participated in designing and executing counterparty risk

involved in the derivatives used by investment portfolios.

o Extending DTS (Duration-time-Spread) measure of credit-spread

risk to other asset classes (IG, HY, MBS, CMBS, Agencies, ABS,

etc.) in the Lehman Agg. Index and created a high level fixed-

income portfolio risk-budgeting based on the common measure.

o Hedging interest-rate risk of MBS with interest-rate options.

. Other responsibilities and works within fixed-income group

o Operating performance attribution for taxable bond portfolios.

o Predicting the aggregate credit card charge-off rate.

o Analyzing MBS duration change due to prepayment.

02/2002 ~ 09/2004, The Investment Research and Counseling Group, Sr.

Investment Analyst

. More general responsibilities and researches

o Supporting senior management in product evaluation and

development, and internal institutional-sales professionals in

providing the insights and functions of various investment

products by prepare presentations and direct consultation

o Researching the effectiveness of different asset/liability

immunization methods

o Risk and return analysis for private equity and hedge funds

o Structure equity portfolio analysis - finding the common

performance/risk contributors

o How predictable is the outperformance of equity portfolio

managers?

o Does a team of manager produce more robust performance than

individual manager?

o TIPS and inflation uncertainty

o Goal based portfolio optimization

o Enhancing index bond portfolio with short-term IG overlay

04/1999 ~ 01/2002, The Marketing Group, Sr. Manager of Decision

Support/Client Intelligence

. Managed a group of 5 ~ 11 professionals, participating marketing

strategy analysis, and conducted quantitative/qualitative marketing

research

o Direct mail marketing response modeling and scoring

o Client Segmentation for continuous wallet deepening (adding new

funds to new and high potential clients)

o Modeling and measuring cross-sale efforts, e.g., adding planning

and brokerage services to profitable clients (response rate,

assign-on rate, usage prediction)

o Current and near future profitability scoring

o Predicting attrition (redemption and relationship ending) using

proportional hazard model

o Providing logistic support and planning various marketing

initiatives (magazine ads, email campaign, TV commercial

experiments)

o Modeling the high-frequency/excessive trading behavior

o Analyzing client satisfaction survey results

o Participating and designing the client information data

warehouse

03/1998 ~ 03/1999, GE Financial Assurance (GEFA), Manager of Analytic

Service

. Managed two statistical modelers

. Worked with actuarial department to create pricing models for GEFA's

insurance products through a expected profitability model that

includes the estimation of response rate, sign-on rate, collectable

total premium combined with actuarial estimates

. Database marketing FEFA insurance products through modeling the sign-

up rate, relationship duration and lapse rate.

05/1997 ~ 03/1998, American Century Investments, Senior Database Marketing

Analyst

. Direct mail marketing modeling

. TV commercial marketing effectiveness assessment

08/1996 ~ 05/1997, Kansas Health Research Institute

Research Fellow in Healthcare Professional Development Planning

08/1995 ~ 08/1996, Kansas State University,

Visiting Professor, teaching graduate macroeconomics and econometrics

CITIZENSHIP/RESIDENCE: U.S. Citizen

PUBLICATIONS:

"The Role of the Discount Rate in Monetary Policy," Federal Reserve Bank of

Kansas Working Paper, 94-01, Coauthored with Mark Rush and Gordon Sellon

"Private Equity Performance Measurement and Its Role in a Portfolio," The

Journal of Wealth Management, Summer 2004, Coauthored with Joseph Davis.

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