Zheng Zhou
Director - Investment Risk Management & Quantitative Research @Northwestern Mutual
Signup · Get unlimited contacts
WORK HISTORY
Director - Investment Risk Management & Quantitative Research @Northwestern Mutual
Milwaukee, WI, US
Derivative Committee Chair:Led a cross-departmental team to ensure a coordinated response to the evolving derivative landscape. Responsible for derivative pricing and risk management.Asset and Liability Management (ALM):Member of the ALM team, supporting various interest rate hedging strategy assessments.Collaborated with departments to conduct hedging effectiveness tests.Capital Risk Management:Developed the Surplus Stress Testing model used for the company\'s Risk-Based Capital (RBC) ratio stress testing.(MATLAB App Designer).Participated in and provided quantitative support for the Economic Capital model.Revamp Surplus Notes Issuance program economic oversight framework.Strategic Asset Allocation: Played a significant role in transforming the quantitative analysis for the Strategic Asset Allocation process. Internally built Efficient Frontier model incorporating insurance-specific portfolio construction considerations, providing valuable insights to enhance the company\'s investment policy.Credit Risk Management:Provided credit risk fundamentals and innovative methodologies for measuring and managing credit risk across various fixed-income asset classes.Drove the investigation into various risk management tools to shape the future vision of investment risk management landscape.Enhanced quantitative modeling capabilities in various areas:Constructed a currency hedging policy.Assisted Actuarial department in incorporating callable bond pricing into the investment projection model.Aided the Investment Accounting department in completing the CECL estimation for an annuity structured deal.Supported Public Investments with quantitative analysis for structured product pitches.Helped the Investment Committee frame active asset allocation boundaries.
EDUCATION
Symmys
Advanced Risk and Portfolio Management, Quant Finance
Illinois Institute of Technology
Master of Science, (Finance, Trading, Quantitative Risk Management)
ABOUT ZHENG ZHOU
Experienced investment management practitioner with a demonstrated history of working in the insurance asset management industry. Specializes in derivatives management, with a strong focus on quantitative research and multi-asset portfolio risk management.
This profile is compiled from publicly available professional sources. Unifers is not affiliated with or endorsed by LinkedIn. Request removal of this profile.