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 – 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