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 – present 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 2021 – present Economic Impact of COVID-19 on Canada
Constructing a pandemic model to include complex styles of COVID patient and unemployment
Calibrating the parameters of pandemic model by public data
Predicting the effect on short-term GDP growth rate and unemployment rate