- Ph.D. candidate in Management, Stevens Institute of Technology, Hoboken, NJ
- MS in Financial Engineering, University of Science and Technology of China, July 2004
- B.S. in Information Management and Computer Science
University of Science and Technology of China, July 2001
- Risk Management
- Credit Risk Model
- Derivatives Pricing
- International Markets
- "Empirical Study of Value-at-Risk and Expected Shortfall Models with Heavy Tails", Journal of Risk Finance. 7, 2 (2006): 117 – 135, (with F. Harmantzis and Y. Chien)
- "Optimal Investment Decision: Project-level Empirical Test", International Association for Management of Technology conference, Beijing, China. May, 2006. (with B. Song and F. Harmantzis)
- "On the Impact of Heavy-Tailed Returns to Popular Risk Measures: Evidence from Global Indices", Quantitative Methods in Finance Conference (QMF), Sydney, Australia, Dec, 2005, (with F. Harmantzis)
- "Individual and Company Credit Scoring Model", China NSF Report, 2004, (with Z. Fang, et.al.)
- "Characteristic Analysis and Risk Research on Credit Card Operation Network", Value Engineering, 2004.
- "Comparison of Status and Future of Credit Management between Mainland China and Taiwan", Forecasting, 2004, (with Z. Fang)
- Financial Analytics Research Group - Stevens Institute of Technology, 2004-present
- Value-at-Risk and Expected Shortfall Models with Heavy Tails. Used different data sets and techniques e.g., MLE, MC simulation, backtesting, hypothesis testing etc., to investigate various heavy-tailed risk models for single-asset portfolios.
- Impact of Heavy-Tailed Returns to Popular Risk Measures. Investigated heavy-tails in financial returns series and effects of GARCH based Value-at-Risk and Drawdown models using KS tests.
- Capital structure arbitrage: Use credit and equity derivatives markets information along with structural type of models
- Financial Engineering Lab - University of Science and Technology of China, 2001-2004
- Apply factor analysis and regression techniques to review individual and corporate credit scoring models and develop suitable scoring models for the Chinese market.
Professional Presentation/Proceeding
- SIAM Conference on Financial Mathematics and Engineering, Boston , USA, July 2006
- IAMOT conference, Beijing, China, May 2006.
- Quantitative Methods in Finance Conference (QMF), Sydney, Australia, Dec. 2005
- Third Rutgers-Stevens Workshop on Risk-Averse Optimization, Oct. 2005.
- SAMSI Workshop on Financial Mathematics, Statistics & Econometrics, Sep. 2005.
- 13th INFORMS Applied Probability Conference, Ottawa, Canada, July 2005.
- Financial Engineering Program, Stevens Institute of Technology
- Computational Methods in Finance (graduate course), 2005, 2006
- Pricing and Hedging(graduate course), 2006
- R&D Center, Agricultural Bank of China, Beijing, P.R. China, 2004
- Data system constructing project: Analysis of system requirements.
- Research Analyst, Shenzhen Stock Exchange, Shenzhen, P.R. China
- Corporate g overnance p olicy for the Chinese market
- Computer skills: Matlab, SPSS, MS Excel, C++, C#, HTML, SQL
- Language: Chinese Mandarin (native), English (fluent)