Li Liu is one of TCFA NY Chapter leads, and Executive Director and head of Market Risk Capital in the risk management department of Morgan Stanley, responsible for market risk capital and securitization capital.  His team’s responsibilities include calculating Basel 3 capital, FRTB program, and projecting RWAs for CCAR. Previously Li was a director and head of US Derivatives Counter Party Exposure Management team at Barclays from 2009 to 2015.  He provided real time sizing of margins and exposures for structured derivatives and financing transactions, performed stress testing counter party portfolios, and participated in Basel 3 rollout. 

Until September 2009 he was a Managing Director and portfolio manager at Babson Capital Management LLC, a fixed income asset management firm with $110 billion under management. Since joining Babson in May 2005, Li introduced $1.0 to $1.4 billion non-mortgage ABS investments including both consumer and commercial asset backed securities to several Babson managed accounts, resulting in far superior and uncorrelated returns from other structured products. 

Prior to Babson, Li worked as originator and underwriter in asset backed finance at Radian Asset Assurance Inc for 3 years.  Prior to Radian, Li worked as desk quant and trader in foreign exchange and money market at Deutsche Bank and Bank of America. Li holds a Ph.D. in Physics from the University of Chicago, and a B.S. from Peking University.