Xianhua Peng

Research Fields:

• Financial Engineering, Financial Technology, Risk Management

Education:

• Ph.D., Operations Research, 2009, Columbia University, New York, USA
• M.S., Applied Mathematics, 2003, Peking University, Beijing, China
• B.S., Applied Mathematics, 2000, Peking University, Beijing, China

Courses:

• Mathematics I (PhD)
• Mathematics II (PhD)
• Mathematics III (PhD)
• Asset Allocation (MA)
• Research Methodology (MA)

Publications:

Risk Measures: Robustness, Elicitability, and Backtesting, Annual Review of Statistics and Its Application, 9(1), 2022. (with Xue Dong He and Steven Kou)

Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk, Operations Research, 66(5):1268-1275, 2018. (with Xue Dong He)

Asset Pricing with Spatial Interaction, Management Science, 64(5), 2083–2101, 2018. (with Steven Kou and Haowen Zhong)

On the Measurement of Economic Tail Risk, Operations Research, 64(5), 1056–1072, 2016. (with Steven Kou)

External Risk Measures and Basel Accords, Mathematics of Operations Research, 38(3), 393–417, 2013. (with Steven Kou and Chris C. Heyde)

On the Wiener-Hopf Factorization for L′evy processes with Bounded Positive Jumps, Stochastic Processes and their Applications, 122 (7), 2610–2638, 2012. (with Alexey Kuznetsov)

Expected Shortfall or Median Shortfall, Journal of Financial Engineering, 1 (1), 1450007 (6 pages), 2014. (with Steven Kou)

Connecting the Top-down to the Bottom-up: Pricing CDO under a Conditional Survival (CS) Model, Proceedings of the 2008 Winter Simulation Conference, 578–586, 2008. IEEE Press. (with Steven Kou)

Robust External Risk Measures, Wiley Encyclopedia of Operations Research and Management Science, 2011. (with Steven Kou and Chris C. Heyde)

Learning multiview face subspaces and facial pose estimation using independent component analysis, IEEE Transactions on Image Processing, 14(6), 705-712, 2005. (with Stan Z Li, XiaoGuang Lv, Xinwen Hou, and Qiansheng Cheng)