Chang-Shu Chung is a Finance Ph.D. student in the Bert W. Wasserman Department of Economics and Finance at Baruch College’s Zicklin School of Business. His research focuses on option and corporate bond markets. He is fortunate to be advised by Professor Liuren Wu and Professor Fabrice Tourre.

Research

Working Papers 

1. Correcting Biases in Corporate Bond Pricing Models: Risk Perception, Mispricing, and Arbitrage (Solo-authored)

Abstract: This paper forms corporate bond portfolios from systematic and idiosyncratic mispricing signals and asks whether the resulting exposures can be hedged out of sample. I correct biases in structural pricing models caused by financial constraints. Two debiasing methods, based on risk perception and rank-difference errors, address structural risk after delta-hedging, cutting portfolio risk by 46% and over 70% relative to standalone long positions, with the information ratio rising from 1.23 to 2.95, a 90% risk reduction. Effective stock-bond hedging requires precise share control, with pricing-error signals directing convergence trades that neutralize structural risk and isolate idiosyncratic mispricing. This paper recasts the credit spread puzzle as mainly a hedging problem rather than valuation alone. My findings show how regulation affects trading firms' hedging.

*** Phd Program in Business Research Grant (2025) ***

*** Philadelphia Fed Mentoring and Advancing PhDs (PFMAP) Initiative — Travel Grant (2026) ***

*** Best Doctoral Paper Award at the Asian Finance Association (AsianFA) Annual Conference (2026) ***

*** The Becker-Friedman Institute Macro-Finance Research Program (MFR) — Travel Grant (2026) ***

Conferences/Seminars/Presentations: Baruch College Brown Bag (2025, New York City); Canadian Economics Association Annual Conference (2026, Simon Fraser University, Vancouver); NUS Quantitative Finance Conference (2026, National University of Singapore, Singapore); The 20th International Symposium on Econometric Theory and Applications (2026, The University of Tokyo, Tokyo); The Annual Society for Financial Econometrics (SoFiE) Meeting (2026, University of Macau, Macau); The Asian Finance Association (AsianFA) Annual Conference (2026, Seoul National University, Seoul); The MFR Program Summer Session for Young Scholars (2026, University of Chicago, Chicago); Southern Finance Association Annual Meeting (2026, Palm Springs)*; The Conference on Real-Time Data Analysis, Methods, and Applications (2026, Federal Reserve Bank of Philadelphia)*.

2. Model Specification and Time-Varying Risk Premia: Evidence from Spot and Option Markets (Based on my master's thesis)

Abstract: In this paper, we address three questions: (i) On average, how much do stochastic volatility and return jumps contribute to the total return variation of the S&P 500 index, and which factor plays the more dominant role? (ii) Do infinite-activity jump models provide a better fit than finite-activity jump models in both the spot index and option markets? (iii) Under what conditions do investors demand significantly higher risk premiums, and how do volatility and jump risk premiums change during financial shocks? For the first question, we find that stochastic volatility explains most of the return variation, while return jumps become more important at the onset of financial crises. For the second, using dynamic joint estimation, we show that the stochastic volatility model with correlated double-exponential jumps in returns and volatility, as well as the model with normal-inverse Gaussian jumps in returns, fit S&P 500 returns and options well across different criteria. For the third, our results indicate that jump risk premiums rise sharply after major financial crises, suggesting that heightened fear of jump risk in the post-crisis period leads to higher expected returns.

*** Ching-Zong Wei Statistical Paper Award ***

*** T. N. Soong Foundation Best Master Thesis Award ***

*** The Best 15th Securities and Futures Paper Award ***

*** Semifinalist, Best Paper Award in Options and Derivatives, Financial Management Association (FMA) ***

Conferences/Seminars/Presentations: International Symposium on Econometric Theory and Applications (SETA, Osaka); Asia Meeting of the Econometric Society (AMES, Xiamen); International Conference of the French Finance Association (AFFI, Quebec); Financial Management Association Annual Meeting (FMA, New Orleans); and Australasian Finance and Banking Conference (AFBC, Sydney).

Work In Progress

1. Liquidity Dynamics Search in Asset and Lending Markets (Solo-authored)

2. Projects in Corporate Credit Markets (with Fabrice)

Honors and Awards

During Ph.D.

• Travel Grant, Philadelphia Fed Mentoring and Advancing PhDs (PFMAP) Initiative, 2026

• Travel Grant, Macro Finance Research (MFR) Program Summer Session for Young Scholars at the University of Chicago, 2026

• Travel Grant, NUS Quantitative Finance Summer School, Workshop, and Conference, Institute for Mathematical Sciences, National University of Singapore, 2026

• Phd Program in Business Research Grant, CUNY Baruch College, 2025

• Travel Grant, Princeton Initiative: Macro, Money, and Finance, Princeton University, New Jersey, 2024

•  ACC Fellowship, Baruch College, City University of New York

Master Thesis

•  Semifinalist, Best Paper Award in Options and Derivatives, Financial Management Association (FMA), New Orleans

•  Ching-Zong Wei Statistical Paper Award

•  T. N. Soong Foundation Best Master Thesis Award

•  Securities and Futures Best Paper Award

•  Taiwan Futures Exchange Best Master Thesis Scholarship