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 PhD 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.