Chao Leon Liu
Class of 2018
Chao (Leon) Liu graduated from Wuhan University with a Bachelor of Science in mathematics and a Bachelor of Arts in economics. During his undergraduate study of mathematics and economics, he was deeply attracted to the idea of exploiting mathematical and statistical modelling to analyze the financial market. As an intern analyst at Bank of China, he studied Basel III and implemented ARMA-GARCH to anticipate the trend and volatility of FTP inside BOC. Later, he interned at the first-ranked ABS team of China in China Merchants Securities to issue the first Non-Performing Credit Loan ABS in China, using cluster analysis, statistical inference, regression and Monte Carlo simulation in R to price the ABS product of 233 million RMB. His internship and mathematical finance background further motivated him to join MSCF program to leverage his modelling and programming abilities in quantitative finance, especially in structured products, portfolio and risk management.