Management Risk

Tianyu Lu

Tel: 631-***-****

******.**@**********.***

Education:

Ph.D. in Quantitative Finance

SUNY STONY BROOK UNIVERSITY (2010 – 2013, Stony Brook, NY)

Research interests:

Heavy tailed distributions, copula and applications in quantitative risk management: the

generalized hyperbolic (e.g. asymmetric t), stable and tempered stable distributions.

Time series analysis, regression analysis, factor model, probability theory, stochastic process,

Monte Carlo simulation, and optimization.

Market risk: fixed income, equity and currency; downside risk measures (VaR, ES), risk forecast,

risk budgeting, stress testing, risk-reward portfolio optimization and derivative pricing.

Credit risk and operational risk: rating based credit model, default dependence, credit derivative

pricing, risk capital computation, Basel II and Basel III.

Factor Model for Large Scale Equity Portfolio Management.

Multi-factor risk model includes market, fundamental and PCA factors, forecasted by

ARMA-GARCH process.

Innovations come from multiple choices of heavy-tailed, asymmetric marginal distributions and

copulas.

Model validation and backtesting are provided along with applications in portfolio selection and

risk budgeting.

Risk Analysis, Risk Budgeting and Portfolio Optimization for the Chinese Stock Market

The Behavior of stock returns and risk in the Chinese market are studied and compared to those in

other developed markets, such as US, Europe, and Hong Kong, etc.

The ARMA-GARCH models with innovations from the tempered stable distributions provides the

state of art risk modeling, in both individual instrument and portfolio level, and signals of market

meltdown in 2008.

Multivariate Tempered Stable Distribution and Its Applications in Finance.

The multivariate tempered stable distribution has the heavy tails and asymmetry in margins and

dependence structure.

Together with time series analysis, it can be applied in portfolio selection, risk budgeting, option

pricing, etc.

B.S. in Electronic Information Science and Technology

Sun Yat-Sen University (2006 – 2010, Guangzhou, China)

Graduate Thesis: The Application of Oblivious Transfer in Financial Quote System

Apply the oblivious transfer methodology from public-key cryptography to protect the privacy of

clients in financial quoting system.

Internship:

Quantitative Researcher, FinAnalytica, Inc (2012.1 2013.1, New York, NY)

Research and development on heavy tailed risk management software system modeling real world

phenomenon of fat tails, asymmetric dependence, volatility clustering and risk asymmetry.

Develop factor based time series models with heavy tailed distributions for equity and funds.

Portfolio optimization and risk budgeting with maximizing expected return over allocated

downside risk.

Derivatives valuation by dynamic asset pricing models driven by heavy tailed lé process.

vy

Researching & Teaching Assistant, Stony Brook University (2012.8 2013.9, Stony Brook, NY)

Designing the scenarios-based risk management system for the high frequency trading.

Research on the applications of tempered stable distribution family in market and credit risk

modeling, option pricing and risk budgeting.

Co-Lecture to graduate courses of Quantitative Finance, Capital Market and Portfolio Theory,

Financial Derivatives and Stochastic Calculation, Matlab exercises.

Software Developer, GOGU Finance, Ltd (2011.6 2012.1, Melville, NY)

Develop the financial trading and managing system with C#, C++, and SQL.

In charge of the equity market reporting and customer management part.

Technical Skills:

Matlab, C#, C++, Mathematica, SAS, R, MS Office and Bloomberg.

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