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