Education Background:
Sep. 2017 - Feb. 2021 PhD at the Department of Quantitative Economics, School of Business and Economics, Maastricht University, the Netherlands.
Doctoral thesis entitled "Essays in Quantile Regression Models and Their Applications to Financial Time Series"
Research Fields: Econometrics, Time series, Financial Risk Management, Quantile Regressions.
Sep. 2014 - Aug. 2016 Master of Science (MSc) specialising in Financial Engineering in the Department of Applied Mathematics, TU Delft, the Netherlands.
MSc thesis entitled "Valuation of Mortgage Offer Options"
Research Fields: Option Pricing, Computational Financial, Mortgage Interest Rate.
Sep. 2010 - Aug. 2014 Bachelor of Science (BSc) specialising in Applied Mathematics at the Department of Mathematics, Dalian University of Technology, China.
Working Experience:
Mar. 2021 - Feb. 2023 Postdoc at the Department of Finance, HEC, University of Liege, Belgium.
Research Subjects: Predictive extreme value regression (EVR), high-frequency trading (HFT), Peaks-over-threshold (POT), time-varying generalized Pareto distribution (GPD), L1-regularized maximum likelihood estimation (MLE), Variable selection, Nonstationarity, Inferential Testing, Machine Learning Techniques.
Nov. 2015 - Apr. 2016 Risk Modeller Intern at the Department of Market& ALM Treasury Risk Modelling, ABN AMRO Bank, the Netherlands.
Research project on the valuation of mortgage offer options.
Academic Papers:
Measuring tail risk at high-frequency: An L1-regularized extreme value regression approach with unit-root predictors, by Julien Hambuckers, Li Sun (the corresponding author) and Luca Trapin (2022)
VAR for VaR and CoVaR, by Alain Hecq, Li Sun (the corresponding author) and Stefan Straetmans (2021), see Chapter 4 of Li Sun's Doctoral Thesis.
Adaptive Random Bandwidth for Inference in CAViaR Models, by Alain Hecq and Li Sun (the corresponding author) (2021).
Selecting between causal and noncausal models with quantile autoregressions, by Alain Hecq and Li Sun (the corresponding author) (2020), Studies in Nonlinear Dynamics & Econometrics.
Work-related Skills:
Computing Languages: R, Matlab (expert level with 7-year experience); Python (proficient thanks to ChatGPT ) C, Fortran (basic understanding level)
Speaking Languages: English (Fluency Level), Mandarin Chinese (Native Speaker)
Skill Certificates: Financial Risk Manager (FRM) Exam Part I, passed with three excellences. (announcement letter + evaluation report)
Contact Information:
Li Sun: ir.li.sun@gmail.com