Engineer Life Insurance
Resume:
Wenzhao Yu
*******.**.****@********.****.***
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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