Project Data

Hao Liu

***-** **** *** – Flushing – NY *****

973-***-**** **********@*****.***

Summary

Seeking a position related to Financial Risk Management. Passionate about risk management with substantial technical, financial, and interpersonal skills for successfully completing a project. Strong background in mathematics and abundant knowledge about derivative products. Three years project experience in C++, SAS, MATLAB, R, Python, SQL. Strong background in mathematics and statistics. Technics about regression, convex optimization, neural network, Monte-Carlo Simulation. Experience

Tellon Trading Inc. Norcross

Financial Data Analyst Aug. 2016 – May. 2017

This project is to seek factors that affect the default probability of peer to peer loan.

Acquired large data (millions) from lending club and imported the data into R environment. Manually selected the factors that may affect the default probability and hazard rate of the loan.

Applied logistic regression and Cox-Proportional Regression to acquire the significance level of those factors and the parameters of the equation for the corresponding model.

Learned that factors like property verification, maturity, homeownership etc. significantly affect the probability of default. Back-tested the model using the separated data. Sinocontech New York

Model Validation May. 2016 – Now

This project is to validate the relationship between yields of taxable bond and tax-exempt bond based on Miller’s model using data of municipal bond and treasury bill.

Built the yield curve of the municipal bond based on the data from Bloomberg Terminal, and discovered agreement with Miller’s framework only for short term maturity bond.

Based on Error Correction Model, obtained the parameters and derived implied tax rate. Compared it to the real tax rate and resulted in agreement for long term equilibrium.

Verified the relationship on different time zone and detected abnormal relationship in the Financial Crisis because of influence of government.

Education

Rutgers Business School Newark

M.S. in Quantitative Finance (3.62 / 4.0) Sep. 2014 – May 2016 Wuhan University Wuhan

B.A. in Economics, B.S. in Mathematics (GPA 3.50 / 4.0) Sep. 2010 – Jun. 2014 Certification

SAS Certified Base Programmer for SAS 9 May. 2017

SAS Certified Advanced Programmer for SAS 9 May. 2017

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