Ren-Raw Chen
Professor Finance and Business Economics at Fordham University
Biography
Fordham University
Ren-Raw Chen specializes in modeling term structure of interest rates and credit risks, automating pricing models for trading desks and rating agencies, deriving closed-form solutions, implementing lattice and Monte Carlo simulations, and complex calibrations.
Professor Chen has published papers in major finance and professional journals. He has implemented pricing models for financial companies, including credit derivatives pricing models for Lehman Brothers, structural default models for Moody's KMV, convertible bond and fixed-income derivatives models for Grand Cathy Securities Corporation, and a two-factor HJM model for Polypaths Software.
Professor Chen received his PhD in finance from the University of Illinois at Urbana-Champaign. He has taught at Rutgers, the State University of New Jersey; University of Pittsburgh; National Taiwan University; and Hong Kong University. He has worked at JP Morgan, Lehman Brothers, Grand Cathy Securities Corporation, Moody's KMV, Black Rock and Morgan Stanley.
Education
- PhD: University of Illinois
- Master's: University of Illinois
- Bachelor's: National Taiwan University
Research interests
- Financial modeling
- Derivatives
- Credit risk
- Term structure of interest rates
Publications
- “An Explicit, Multi-factor Credit Default Swap Pricing Model with Correlated Factors,” with Xiaolin Cheng, Frank Fabozzi, and Bo Liu, Journal of Financial and Quantitative Analysis, March 2008.
- “Optimal strike prices of stock options for effort-averse executives,” with Oded Palmon, Sasson Bar-Yosef, and Itzhak Venezia, Journal of Banking and Finance, February 2008, Vol. 32 (2), pp. 229~239.
- “Market Risk of Mortgage-Backed Securities With Consistent Measures,” with H. Liao and Tyler Yang, Journal of Real Estate Finance and Economics, Vol. 35, No. 1, 2008.
- “Sources of Credit Risk: Evidence from Credit Default Swaps,” with Frank Fabozzi, Ging-ging Pan, and Ron Sverdlove, Journal of Fixed Income, December 2006 (lead article).
Read about executive education
Other experts
Popular Courses
Private Equity: Investing and Creating Value
The Wharton School
Philadelphia, Pennsylvania, United States
Sep 8
The Positive Leader: Deep Change and Organizational Transformation
Stephen M. Ross School of Business
Ann Arbor, Michigan, United States
Jun 23
Leading Strategic Growth and Change
Columbia Business School
New York, New York, United States
Jun 10
The Manchester Leadership Development Programme
Alliance Manchester Business School
Manchester, United Kingdom
Jul 1
Leading People and Teams
ESMT
Berlin, Germany
May 28
Leading Digital Transformation
ESMT
Berlin, Germany
May 28
Looking for an expert?
Contact us and we'll find the best option for you.