Ren-Raw Chen

• Bachelors: National Taiwan University
• Masters: University of Illinois
• PhD: University of Illinois

• Financial modeling
• Derivatives
• Credit risk
• Term structure of interest rates

• “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).

Dr. 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.  He has published papers across major finance as well as professional journals. He also 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.  Dr. Chen received his Ph.D. 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, and worked at JP Morgan, Lehman Brothers, Grand Cathy Securities Corporation, Moody’s KMV, Black Rock, and Morgan Stanley.