Jiangqiu Liu

Risk Manager (Director) at SMBC Bank International / SMBC Nikko Capital Markets Jan 2013 – Present

Specialised in multiple types in risk management taxonomy; responsible for policy making, qualitative risk assessment and quantitative risk methodology development & modelling

1. Liquidity Risk & ILAA (ICARA)

• Owner of the firm’s Liquidity Risk Management policy & ILAA 
• Developed liquidity stress test model for determining the firm’s cash & liquidity asset buffer amount
• Established the firm’s liquidity early warning indicator mechanism and settlement monitoring system

1. Capital Risk & ICAAP (ICARA)

• Owner of the firm’s Capital Risk Management Policy; provided COREP reviews & sign offs 
• Lead the firm’s transition from Basel II, BIPRU to Basel III and IFPR and oversaw the implementation
• Developed capital sensitivity analytical tool for approximating the firm’s capital buffer adequacy based on real-time market movements or deterministic stress scenarios

1. XVA Risk

• Owner of the company’s XVA Risk Management Policy and XVA risk limits
• Assisted UK XVA desk establishment and back office coordinator of Markit Workbench
• Sponsor for the firm’s XVA risk cultural embeddedness & learning material design

1. Market Risk
   • Obtained Board’s approval for derivative market risk limits and developed risk monitoring mechanism 
   • Developed VaR model for derivative business and introduced Bloomberg’s MARS for security business
   • Built pricing tools for convertible bonds and IPV tools for the firm’s security business
2. Credit Risk

• Developed MPE & EPE analytical tool for monitoring the firm’s credit risk against Board-level risk limits
• Establish CuD & TuD monitoring framework for the Group’s global derivative business 
• Developed risk tools for analysing counterparty & geographic credit risk exposures

1. New Business / Product Onboarding

• Engaged with front office colleagues & external stakeholders to support new product onboarding and business expansion and provided relevant risk inputs, oversight & challenges
• Lead & Collaborated with internal stakeholders across all levels and external vendors (e.g. LCH CCP, Broadridge Gloss) to ensure the firm’s system infrastructure and upstream reports are fit for purpose

Risk Manager (Director) at SMBC Bank International / SMBC Nikko Capital Markets Jan 2013 – Present

Specialised in multiple types in risk management taxonomy; responsible for policy making, qualitative risk assessment and quantitative risk methodology development & modelling

1. Liquidity Risk & ILAA (ICARA)

• Owner of the firm’s Liquidity Risk Management policy & ILAA 
• Developed liquidity stress test model for determining the firm’s cash & liquidity asset buffer amount
• Established the firm’s liquidity early warning indicator mechanism and settlement monitoring system

1. Capital Risk & ICAAP (ICARA)

• Owner of the firm’s Capital Risk Management Policy; provided COREP reviews & sign offs 
• Lead the firm’s transition from Basel II, BIPRU to Basel III and IFPR and oversaw the implementation
• Developed capital sensitivity analytical tool for approximating the firm’s capital buffer adequacy based on real-time market movements or deterministic stress scenarios

1. XVA Risk

• Owner of the company’s XVA Risk Management Policy and XVA risk limits
• Assisted UK XVA desk establishment and back office coordinator of Markit Workbench
• Sponsor for the firm’s XVA risk cultural embeddedness & learning material design

1. Market Risk
   • Obtained Board’s approval for derivative market risk limits and developed risk monitoring mechanism 
   • Developed VaR model for derivative business and introduced Bloomberg’s MARS for security business
   • Built pricing tools for convertible bonds and IPV tools for the firm’s security business
2. Credit Risk

• Developed MPE & EPE analytical tool for monitoring the firm’s credit risk against Board-level risk limits
• Establish CuD & TuD monitoring framework for the Group’s global derivative business 
• Developed risk tools for analysing counterparty & geographic credit risk exposures

1. New Business / Product Onboarding

• Engaged with front office colleagues & external stakeholders to support new product onboarding and business expansion and provided relevant risk inputs, oversight & challenges
• Lead & Collaborated with internal stakeholders across all levels and external vendors (e.g. LCH CCP, Broadridge Gloss) to ensure the firm’s system infrastructure and upstream reports are fit for purpose

Cass Business School, UK MSc Mathematical Trading & Finance (Distinction) 2011 – 2012

• Core modules: Derivatives, Risk Analysis & Modelling, Mathematical Finance, Advanced Financial Econometrics, Structured Equity and Energy Derivatives
• Dissertation: “The Mean-Variance-Liquidity Frontier: An Empirical Analysis on Equity Markets”. After designing and quantifying multiple liquidity metrics, it extends traditional 2D mean-variance efficient frontier to 3D mean-variance-liquidity sphere, which possess the potential to be utilised in portfolio management for the capability of improving portfolio’s liquidity considerably at an infinitesimal cost of total return

Leeds University Business School, UK MSc Financial Mathematics (Distinction) 2010 – 2011

• Core modules: Risk Management, Computation in Finance, Financial Econometrics, Discrete & Continuous Time Finance, Security Investment Analysis, Research Method
• Dissertation: “Modelling Linear and Nonlinear Causal Relationship between Hushen 300 Index and Index Futures”. Utilised Matlab, SAS and EViews to model linear and nonlinear causality between stock index and index futures. The results can be applied to empirical statistical and forecasting models