Chunpu Song
Senior Quantitative Developer
Chicago, IL, US
Chunpu is a quantitative analyst in the Capital Markets and Hedging Group of Milliman’s Financial Risk Management practice in Chicago. This group advises clients in banking, insurance, mortgage servicing, and funds management on financial risks, hedging strategies, and trading operations. Chunpu helps support risk management tools and trading analytics and works on special projects.
Experience
Prior to joining Milliman, Chunpu worked for a research institute as a programmer analyst in quantitative modeling, programming, and analysis.
Professional Designations
- FRM certification pending
- CFA charter pending
Education
- PhD, Policy Analysis, George Mason University
- Master of Financial Mathematics and MS in Statistics, University of Minnesota–Twin Cities
- MS, Enterprise Management, Harbin Institute of Technology
- BS, Business Administration, University of Shanghai for Science and Technology
Publications
Read their latest work
Article
ESG Investments - regulatory requirements and investment strategies in Europe and the United States
03 May 2022 - by Marcus Scheffer, Lennart Albertsen, Peter H. Sun, Neil Dissanayake, Chunpu Song, Sihong Zhu, Jessica Crowson, Kelly Yang
ESG investing returns have been comparable to the general market, showing how investing in the space is an opportunity, not a constraint
Article
Variable Annuity Guarantee Hedging maintains its effectiveness during COVID-19 market turmoil
12 August 2020 - by Peter H. Sun, Chunpu Song, Victor Huang, Ram Kelkar
This paper examines the hedge effectiveness of a wide range of Variable Annuity carriers.
Article
Milliman Derivatives Survey 2017
29 January 2018 - by Neil Dissanayake, Victor Huang, Ram Kelkar, Peter Lin, David Schreiner, Chunpu Song
This report summarizes key findings from the 2017 update to Milliman’s survey of derivative usage by the global insurance industry.
Article
Milliman Derivatives Survey 2014
31 March 2015 - by Neil Dissanayake, Victor Huang, Ram Kelkar, Chunpu Song
Our annual global survey of life insurance companies explores trends in risk management practices and derivatives usage within the insurance industry.
Article
Milliman Derivatives Survey 2013
07 April 2014 - by Neil Dissanayake, Victor Huang, Ram Kelkar, Chunpu Song
Our survey explores hedging strategies, which are a major area of concern for insurers due to the risk of sharp increases in life insurance premium rates, declines in the equity markets around the world, and concerns about a deflationary spiral.