Projects Experiences
Apr 2008 – May 2009 Impact of Financial Crisis to Chinese Commodity Prices
Applied principal component analysis, linear regression and stepwise regression to analyze the principal influenced factor of Chinese commodity prices during a financial crisis among multi macroeconomic factors
Sept 2011 – Sept 2012 Interval-valued Portfolio Selection & Comparative Research of Risk Measurement
Computed and compared VaR, semi-variance and variance using the GARCH model for single-valued and interval-valued stock prices
Improved ranking method for intervals and applied interval-valued Markowitz’s mean-variance portfolio model to select the optimal portfolio for a pre-specific risk level
May 2015 – Aug 2017 Sensitivity Analysis of Systemic Risk in Network Models
Qualified the sensitivity of the Eisenberg-Noe clearing vector to its estimation errors in the bilateral liabilities matrix of a financial network system by directional derivatives of a fixed point problem
Applied the Bayesian sampling methodology to simulate the worst-case perturbations on a dataset of European banks for uniform and Gaussian distribution assumptions of errors
May 2015 – May 2019 XVA Valuation under Market, Credit & Liquidity Risk
Arbitrage-free evaluated vanilla European options considering the counterparty defaults, asymmetric interest rates and funding illiquidity under a financial regime switching process
Applied martingale theory, jump processes and BSDEs to price options
Verified the pricing formula and equations by selected stocks’ historical data
July 2019 – present Financial Systemic Risk in Repo Market
Developing the mathematical constraints of the Repo market
Constructing a network model with collateralized loans
Simulating the effect to the whole financial system of some financial shocks
Oct 2019 – Nov 2021 Education research project of project-based course design
Designing survey to collect students’ feedback about a full year project-based course in engineering major
Analyzing the data to provide suggestions to improve the course design
Feb 2020 – Feb 2021 Impact of asymptomatic COVID-19 carriers on pandemic policy outcomes
Introduced asymptomatic viral carriers into a typical SEIR pandemic model
Calibrated the transmission rate of COVID-19 based on confirmed cases
Analyzed the differences between different publish health policies to a virus with or without asymptomatic and provided reasonable suggestions
Apr 2020 – present Network model of COVID-19 Epidemic
Construct a network pandemic model with four categories (SEIR)
Analyzing the effect of transportation to the spread of virus by simulation
Providing feasible and reasonable suggestions to public health agency for the COVID-19 pandemic
Apr 2021 – Aug 2022 Economic Impact of COVID-19 on Canada
Analyzing the unintended consequences of COVID19 economic stimulus
Quantifying the impact on Canada’s economics by SFC model