Chief Risk Officer of Ping An Pan Hai
Executive Director of the Risk Management Research Centre, Asian Institute of Investors
Dr. Chern Lu is the Chief Risk Officer of Ping An Pan Hai, the hedge fund arm of Ping An Insurance Group. He is in charge of managing all risks related to trading and asset management, including market-making, statistical arbitrage, index arbitrage, block trading, OTC derivatives, ABS and MBS.
He was formerly the regional head of PwC and Deloitte for market risk, ALM, interest rate risk and counter-party credit risk management. At PwC, he led the risk team in advising Hong Kong and Chinese banks on how to fulfil Basel II and III market risk, liquidity risk, interest rate risk, and CCR/CVA regulatory requirements, covering model development, valuation, stress testing, risk limitation, and back testing.
His other achievements include developing Active-Trading-VaR to complement the classical JP Morgan Buy-and-Hold VaR for capturing intraday trading risks, and designing the advanced Money Management Model in the Trading Model to optimise an active trading portfolio's performance multi-dimensionally.
Dr. Lu has occupied several industry leadership roles, such as leading the risk management due diligence efforts for China's largest M&A deal of 2014, between COFCO and Noble Group; leading a Basel II risk management project for one of the largest Southeast Asian banks, which helped PwC win the prestigious Asia Risk Consultant of the Year 2013 Award; as an Advisory Committee member guiding Everbright Securities after its ETF trading error incident; and representing IMF and the World Bank to assist Southeast Asian countries to strengthen and improve bond trading and risk management practices, and conducting training for regulators.
Dr. Lu is also a Visiting Finance Professor at the HK Financial Management Institute; Adjunct Associate Professor at the University of Hong Kong, SPACE; Visiting Professor in Applied Finance at Australia’s Macquarie University; and Executive Director of the Risk Management Research Centre at the Asian Institute of Investors.