Greg C. Gao
Director of Risk Analytics
Greg joined Penso Advisors in August 2022 as a Director of Risk Analytics. His focus is risk management and quantitative analytics. Before joining the firm, Greg was a Senior Software Engineer / Risk Expert at AIG Market Risk Management from 2019 to 2022, where he worked on building a large-scale in-house risk management system used for hedging and valuing Variable/Index/Fixed annuity products. Before AIG, he was a quantitative researcher at Alliance Bernstein from 2016 to 2019, covering research in systematic macro and tail risk protection strategies. Before AB, Greg worked at Deutsche Bank Asset Wealth Management from 2014 to 2016, where he was part of the team building alternative risk premium strategies.
Greg holds a bachelor’s degree in Computer Science from the University of Electronic Science and Technology of China, a Master’s in Computer Science from the University of Southern California, and a Master’s in Financial Engineering from UCLA Anderson School of Management.