Liwen J.
Quantitative Model Developer
- Role
- Portfolio Quantitative Analyst at UBS
- Location
- Chicago, IL, US
- LinkedIn followers
- 500 followers
About Liwen J.
Area of interest: Risk Modeling, Quantitative Model Development Programming: Python…
Experience
Portfolio Quantitative Analyst
Feb 2022 — Present · Shanghai, CN
Sensi decomposition model development on equity strategies to reduce FRTB RWA- Develop Machine Learning models to facilitate capital optimization (e.g. RWA and LRD)- Standard Initial Margin model (SIMM)- Quantitative Portfolio Management Model- Future Trading Activity Forecast (NN model, pyspark, databricks)- Bond Collateral Simulation
Education
Georgia Institute of Technology
Master's degree
2020 — 2023
University of Illinois at Urbana-Champaign
Master of Science - MS
2017 — 2018
Shanghai Jiao Tong University
Bachelor of Science (B.S.)
2013 — 2017
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