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    Pierre Xu

    Quantitative researcher; portfolio management expert

    Pierre Xu and his Portfolio Risk Analytics team design and implement credit portfolio and capital management solutions across a range of global financial institutions. They have pioneered approaches to managing portfolio risk in the face of a constraining regulatory environment. His team’s recent focus is on constrained credit portfolio optimization, quantification of risk appetite in risk-based limits, and portfolio design under CECL and IFRS 9.

    Louisiana State University: PhD, Economics
    University of California, Berkeley: MA, Financial Engineering
    Fudan University: BA, Finance

    Portfolio Optimization: Quantify diversification benefits across portfolios and define risk types that inform risk management and active asset allocation decisions.

    Economic Capital : Moody’s Analytics insurance economic capital solution provides critical insights that help evaluate solvency positions and risk-based decision making.

    Regulatory Capital : Moody’s Analytics insurance regulatory capital solutions help insurers comply with Solvency II and other similar regulatory regimes.


    Portfolio Models: Models that enable portfolio managers to assess and optimize portfolio risk.

    Regulatory Capital: Amount of capital financial institutions must hold as required by financial regulators.

    Loss Accounting: CECL: New credit loss accounting standard that replaces the current ALLL accounting standard.

    Published Work