python, SQL, VBA

Haoyu Liao

**** * ******* ***, *** *** Chicago, IL 60616 312-***-**** aczklf@r.postjobfree.com linkedin.com/in/haoisbest

EDUCATION

****-***,**** *** & Master of Science in Finance, Illinois Institute of Technology Chicago, IL

Concentration: Mathematical Finance

Stuart School Dean Scholarship

2010-2014 Bachelor of Arts in Finance, Tianjin University of Commerce Tianjin, China

SKILLS

Programming: Python / VBA / SQL Tools: Ipython Notebook / Pycharm/ Visual Studio / Microsoft Office

Certificate: The Chartered Financial Analyst(CFA) Level II candidate / The Financial Risk Manager(FRM) Level II candidate

ACADEMIC PROJECTS

CQA Investment Challenge

Managed a long/short, beta-neutral, dollar neutral portfolio for six months and achieved Sharp Ratio 1.47(#4 among 49 teams)

Developed alpha model by Magic Formula, Piotroski F-Score, Mohanram G-Score and six-month momentum.

Back tested 1000 symbols, gained averagely 60% accuracy and optimized stop-limit-on-quote strategies.

performed factor testing using the hit rate, decile spread and IC decay and rebalanced the portfolio on a bi-weekly basis

Fixed income analysis

Molded interest rate with CIR and Vasicek model.

Used CIR Binomial Tree to price European options and finite to price American Options.

Priced callable bond, puttable bond using path wise, binomial tree.

Priced a callable zero coupon bond by the Vasicek model.

Pricing Exotic options using Monte Carlo Method

Calibrated Implied volatility of Black-Scholes model with Bisection and Newton method.

Simulated stock’s pattern by Monte Carlo Method and valued European options using Python.

Increased simulation efficiency with Antithetic Sampling, Important Sampling, and Quasi-Monte Carlo methods.

Collected data and calculated the Greeks of Black-Scholes model and calibrated Heston model.

CME Group Trading Challenge

Traded Crude Oil Futures and gained 65% profit in 4-consecutive trading days by forecasting political issues.

Identified trading opportunities and built a stochastic model of Crude Oil Futures accompanied with analytic indexes and gained average 1% profit per trading day which is first out of six IIT teams.

Portfolio Construction

Detected style drift problem within mutual fund SMCWX by style analysis.

Evaluated return of mutual fund SMCWX and found out the factors in its Alpha Model

Assessed asset allocation ability and security selection using attribution analysis

Used linear regression to form alpha model and tested with ANOVA.

Used Principal component analysis, cluster analysis, and stratified sampling based on the fundamental law of active management

Credit &Market risk analysis

Calculated z-score for S&P 500 companies and categorize firms into safe, gray and default group.

Analyzed companies’ default probability using rating agency, reduced model, structural model and hybrid model.

Estimated market risk, operation risk, and model risk according to BASEL requirements.

Shocked different parameters and scenarios to estimate economic capital and satisfy CCAR requirements.

Used parametric and non-parametric methods to calculate VAR

Got rid of ghosts effect,reduce efficient sample size, produces superior Var estimate by BRW model and Hull & White model.

PROFESSIONAL EXPERIENCE

2012-2013 Quantitative Analyst Intern, China Galaxy Securities Shenzhen, China

Collected time series data of stock in China via data terminal API.

Z-scored factors from Fundamental valuation methods and technical indicators as features.

Analyzed price distributions and volatilities of futures by VBA and adjusted outliers of data.

Identified factors that influence the performance of stocks and back tested statistical strategies.

2013-2014 Financial Loan Manager, Fudian Bank Kunming, China

Used credit risk model to estimate and monitor default risk of estates loan.

Attracted 175 estates loans despite offering higher interest rate compared to the other banks.

Maintained customer relationship and helped with wealth management and asset allocation.

2015-Present Office Assistant, IIT International Center Chicago, IL

Manage database and draft correspondence, answer phones and handle requests

Contact this candidate