Michael Yao
Director, Lead Quant- Quantitative Strategy
New Jersey, United States
Summary
👤
Senior🎓
Top SchoolMichael Yao is a Director and lead quantitative strategist with over eight years focused on derivatives-driven hedging, structured products, and systematic trading across banking, insurance, and asset management. He combines hands-on model development in Python and quantitative finance training (MSCF, Rutgers MBA) to deliver decision analytics, capital adequacy tools, and machine-learning informed algo trading strategies. His career includes building curve builders, pricers and pathwise hedging frameworks for variable annuity books and designing portfolio immunization, Black-Litterman and resampling-based strategic asset allocations. Known for bridging trading desks and executive stakeholders, he has led complex transaction structuring and implemented derivatives-based hedging programs under regulatory constraints. Less obvious: he has applied econometric techniques from VEC models to MV-GARCH and Markov-chain delinquency models, demonstrating a rare blend of credit, market and ALM expertise. Based in New Jersey, he brings pragmatic, research-driven solutions that translate quantitative insights into capital and risk management actions.
8 years of coding experience
10 years of employment as a software developer
MBA, Finance/SCM, MBA, Finance/SCM at Rutgers, The State University of New Jersey-New BrunswickMSCF, Computational Finance, MSCF, Computational Finance at Carnegie Mellon University - Tepper School of Business
English, ChineseGithub contributions (5)
michaelsyao/Multi-Asset-Systematic-Strategy
Mar 2021 - Dec 2022
Contributions:112 commits, 99 pushes, 1 branch in 1 year 9 months
michaelsyao/GammaScalping
Apr 2020 - Jul 2020
Contributions:22 commits, 21 pushes, 1 branch in 3 months
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