Ren-Raw Chen

Ren-Raw Chen specializes in modeling term structure of interest rates and credit risks, automating pricing models for trading desks and rating agencies, deriving closed-form solutions, implementing lattice and Monte Carlo simulations, and complex calibrations.

Professor Chen has published papers in major finance and professional journals. He has implemented pricing models for financial companies, including credit derivatives pricing models for Lehman Brothers, structural default models for Moody's KMV, convertible bond and fixed-income derivatives models for Grand Cathy Securities Corporation, and a two-factor HJM model for Polypaths Software.

Professor Chen received his Ph.D. in finance from the University of Illinois at Urbana-Champaign. He has taught at Rutgers, the State University of New Jersey; University of Pittsburgh; National Taiwan University; and Hong Kong University. He has worked at JP Morgan, Lehman Brothers, Grand Cathy Securities Corporation, Moody's KMV, Black Rock and Morgan Stanley.

• Ph.D.: University of Illinois
• Master's: University of Illinois
• Bachelor's: National Taiwan University

• Financial modeling
• Derivatives
• Credit risk
• Term structure of interest rates

• “From liquidity risk to systemic risk: A use of knowledge graph,” with Xiaohu Zhang, Journal of Financial Stability, February 2024, Vol. 70.
• “An Exact Structural Model for Evaluating Credit Default Swaps: Theory and Empirical Evidence,” with Pei-Lin Hsieh, The Journal of Fixed Income, Winter 2023, Vol. 32(3), pp. 20 - 48.
• “Ultra Treasury Bond Futures,” with Dean Leistikow, You-Tseng Su, and Shih-Kuo Yeh, The Journal of Fixed Income, Winter 2023, Vol. 32 (3), pp. 117-139.
• “Using the Graphics Processing Unit to Evaluate American-Style Derivatives,” with Leon Xing Li, The Journal of Financial Data Science, Summer 2023, Vol. 5 (3) pp. 88-106.
• “Predictive Power of the implied volatility term structure in the fixed-income market,” with Pei-Lin Hsieh, Jeffrey Huang, and Xiaowei Li, The Journal of Future Markets, March 2023, Vol. 43(3), pp. 349-383.
• “CMS Spread Options Pricing under the CHH Model,” with Xiaowei Li, and Pei-Lin Hsieh, The Journal of Fixed Income, Spring 2023, Vol. 32 (4), pp. 83-107.
• “Index Tracking: A Stock Selection Model Using Particle Swarm Optimization,” The Journal of Investing, February 2023, 32 (2), pp. 53-73.
• “Modeling Firm Search and Innovation Trajectory Using Swarm Intelligence,“ with Cameron D. Miller, and Puay Khoon Toh, Algorithms, 2023, Vol. 16 (2).
• “Stock Liquidity Risk and Cash Preservation,” with Shih-Kuo Yeh, Wan-Ru Yang, and Chung-Ying Yeh, Review of Pacific Basin Financial Markets and Policies, 2022, Vol. 25 (4).
• "A New Look at the Swing Contract: From Linear Programming to Particle Swarm Optimization," with Tapio Behrndt, Journal of Risk and Financial Management, 2022, Vol. 15 (6).
• “On the Black–Litterman Model: Learning to Do Better,” with Shih-Kuo Yeh, and Xiaohu Zhang, The Journal of Financial Data Science, Summer 2022, Vol. 4 (3), pp. 66-88.
• “Extracting Liquidity Risk Factors by Credit Default Swap Quotation and Corporate Bond Yield: An Experimental Investigation,” with Chung-Ying Yeh, Bing-Huei Lin, Shih-Kuo Yeh, NTU Management Review, April 2022, Vol. 32 (1), pp.1-44.
• “Spot asset carry cost rates and futures hedge ratios,” with Dean Leistikow, and Yuewu Xu, Review of Quantitative Finance and Accounting, February 2022, Vol. 58, pp.1741-1779.
• "An Artificial Intelligence Approach to the Valuation of American-Style Derivatives: A Use of Particle Swarm Optimization," with Jeffrey Huang, William Huang, and Robert Yu, Journal of Risk and Financial Management, 2021, Vol. 14 (2), 57.
• “Particle swarm optimization approach to portfolio construction,” with Wiliam Kaihua Huang, and Shih‐Kuo Yeh, Intelligent Systems in Accounting, Finance and Management, 2021, Vol. 28 (3), pp. 182-194.
• “CDS-Implied Risk of US Delinquency: Implications for the US Debt Ceiling,” with John D. Finnerty, and Bruno G. Kamdem, The Journal of Fixed Income, Summer 2021, 31 (1), pp. 6-26.
• “An Examination of Ex Ante Risk and Return in the Cross-Section Using Option-Implied Information,” with Dongcheol Kim, Tai-Yong Roh, and Durga Panda, The European Journal of Finance, 2020, Vol. 26 (16), 1623-1645.
• “Futures Minimum Variance Hedge Ratio Determination: An Ex-Ante Analysis,” with Dean Leistikow, and Andrew Wang, The North American Journal of Economics and Finance, 2020, Vol. 54.
• "Carry Cost Rate Regimes and Futures Hedge Ratio Variation," with Dean Leistikow, Journal of Risk and Financial Management, 2019, Vol. 12 (2), 78.
• “A Resolution to Valuation Conflicts of Swaptions/Caps and OIS/LIBOR,” with Pei-Lin Hsieh, Jeffrey Huang, and Joe Huang, The Journal of Fixed Income, Winter 2019, Vol. 28 (3), pp. 68-87.
• "Default Risk and Cross Section of Returns," with Sris Chatterjee and Nusret Cakici. Journal of Risk and Financial Management, June 2019, Vol. 12 (2), 95, 1-15.
• “Crash risk and risk neutral densities,” with Pei-Lin Hsieh, and Jeffrey Huang, Journal of Empirical Finance, 2018, Vol. 47, pp. 162-189.
• “It Is Time to Shift Log-Normal,” with Pei-Lin Hsieh, and Jeffrey Huang, The Journal of Fixed Income, Fall 2017, Vol. 27 (2), pp. 37-51.
• “The liquidity impact on firm values: The evidence of Taiwan's banking industry,” with Tung-Hsiao Yang, and Shih-Kuo Yeh, Journal of Banking & Finance, 2017, Vol. 82, pp. 191-202.
• “What lies beneath the implementation of expensing equity-based compensation?,” with Hsuan-Chu Lin, Ting-Kai Chou, Michael Long, Pacific-Basin Finance Journal, 2017, Vol. 46 (A), pp. 78-93.
• “An Explicit, Multi-factor Credit Default Swap Pricing Model with Correlated Factors,” with Xiaolin Cheng, Frank Fabozzi, and Bo Liu, Journal of Financial and Quantitative Analysis, March 2008.
• “Optimal strike prices of stock options for effort-averse executives,” with Oded Palmon, Sasson Bar-Yosef, and Itzhak Venezia, Journal of Banking and Finance, February 2008, Vol. 32 (2), pp. 229-239.
• “Market Risk of Mortgage-Backed Securities With Consistent Measures,” with H. Liao and Tyler Yang, Journal of Real Estate Finance and Economics, Vol. 35, No. 1, 2008.
• “Sources of Credit Risk: Evidence from Credit Default Swaps,” with Frank Fabozzi, Ging-ging Pan, and Ron Sverdlove, Journal of Fixed Income, December 2006 (lead article).
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