REN-RAW CHEN

Fordham University

Room 1319, 1790 Broadway,

New York, NY 10023

rchen@fordham.edu

http://www.bnet.fordham.edu/rchen

AREAS OF INTEREST

Liquidity Quantification

Credit Derivatives

Equilibrium Option Pricing

Real Options

Mortgage Backed Securities

Term Structure of Interest Rates

EDUCATION

University of Illinois at U-C	Finance	1987-1990	Ph.D
University of Illinois at U-C	Finance	1985-1987	M.S.
National Taiwan University	Business Administration	1978-1982	B.B.A

EXPERIENCE

full time employment history

Professor	Fordham University	9/2008-present
Asst. and Asso. Prof.	Rutgers Univ.	7/1990-6/2008
Vice President	Lehman Brothers Inc	8/1997-1/1999
Visiting Asst. Prof.	Univ. of Pittsburgh	1/1996-6/1996
Visiting Asso. Prof.	National Taiwan Univ.	8/1994-12/1995

others

JP Morgan, Price Waterhouse, Freddie Mac, Grand Cathy Securities, Moody’s KMV, BlackRock, Morgan Stanley, UBS, DTCC, IFE.

COURSES TAUGHT

Large-scale Data Analysis	Fordham U.
Analysis of Fixed Income	Rutgers U.
Financial Engineering	Univ. of Pittsburgh
Capital Market Theory / Continuous Time Finance	Nat’l Taiwan Univ.
Seminar on Term Structure	Nat’l Taiwan Univ.
Real Estate Finance & Mortgage Backed Sec's	Fordham U., NTU and Rutgers U.
Advanced Corporate Finance	Rutgers U. and U. of Pitts.
Business Forecasting	Rutgers U.
Futures and Options	Rutgers U. and U. of Pitts.
Interest Rate Derivatives	U. of Pitts.
Investments	Rutgers U., U. of Ill., and U. of Pitts
Introduction to Financial Management	Rutgers U. and Univ. of Ill.
Financial Modeling II (M(S)QF)	Fordham U., Rutgers U.
Investment and Portfolio Analysis (Ph.D.)	Rutgers U.

PUBLISHED PAPERS

refereed

1. “Valuing Liquidity Discount” forthcoming, Journal of Fixed Income.

2. “Dynamic Interaction between Interest Rate and Credit Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads,” with Xiaolin Cheng and Liuren Wu, forthcoming, Review of Finance.

3. “Lower Bound of European Option Price,” with Hsuan-Chu Lin and Oded Palmon, forthcoming, Review of Quantitative Finance and Accounting.

4. “Analytical Bounds for Treasury Bond Futures Prices,” with S.K. Yeh, forthcoming, Review of Quantitative Finance and Accounting.

5. “Risk-Adjusted Stock Information from Option Prices,” with Dongcheol Kim and Durg Panda, Review of Futures Markets, Vol. 19, No. 2, p. 107-144, 2010.

6. “Inflation, Fisher Equation, and The Term Structure of Inflation Risk Premia: Theory and Evidence from TIPS,” with Xiaolin Cheng and Bo Liu, Journal of Empirical Finance, Vol. 17, No. 5, p. 702-721, 2010.

7. “Corporate Credit Default Swap Liquidity and Its Implications for Corporate Bond Spreads,” with Frank Fabozzi and Ronald Sverdlove, Journal of Fixed Income, Fall, 2010.

8. “Default Prediction of Various Structural Models,” with Frank Fabozzi, Sing-yang Hu and Ging-ging Pan, Journal of Credit Risk, Vol. 6, No. 2, Summer 2010.

9. “A Risk-Based Evaluation of the Free-Trader Option,” with Frank Fabozzi, Quantitative Finance, Vol. 10, No. 3, p. 235 – 240, March 2010.

10. “Empirical Performance of the Constant Elasticity Variance Option Pricing Model,” with Cheng-few Lee and Han-Hsing Lee, Review of Pacific Basin Financial Markets and Policies, Vol. 12, No. 2, pp. 1-41, 2009.

11. “Embedded Options in Treasury Bond Futures Prices: New Evidence,” with Hann-Shing Ju and Shih-Kuo Yeh, Journal of Fixed Income, Vol. 19, No. 1, pp. 82-95, Summer 2009.

12. “An Empirical Analysis Of The CDX Index And Its Tranches,” with Frank Fabozzi, Shih-Kuo Yeh, and Yi-Chen Wang, Applied Financial Economic Letters, Vol. 16, No. 14, pp. 1425-1431, 2009.

13. “Estimation and Valuation of the Term Structure of Credit Default Swaps: An Empirical Study,” with Xiaolin Cheng and Bo Liu, Insurance: Mathematics and Economics, Vol. 43, No. 3, pp. 339-349, 2008.

14. “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, Vol. 43, No. 1, pp. 123-60, March 2008.

15. “Optimal strike prices of stock options for effort-averse executives,” with Oded Palmon, Sasson Bar-Yosef, and Itzhak Venezia, Journal of Banking and Finance, Vol. 32, No. 2, pp. 229-239, February 2008.

16. “Market Risk of Mortgage-Backed Securities With Consistent Measures,” with H. Liao and Tyler Yang, Journal of Real Estate Finance and Economics, Vol. 36, No. 1, pp. 121-140, January 2008.

17. “Exploring the Components of Credit Risk in Credit Default Swaps,” with Xiaolin Cheng and Frank Fabozzi, Finance Research Letters, Vol. 4, No. 1, pp.10-18, 2007.

18. “Sources of Credit Risk: Evidence from Credit Default Swaps,” with Frank Fabozzi, Ging-ging Pan, and Ron Sverdlove, Journal of Fixed Income (lead article), Vol. 16, No. 3, pp. 7-21, December 2006.

19. “A Non-Parametric Option Pricing Model: Theory and Empirical Evidence,” with Oded Palmon, Review of Quantitative Finance and Accounting (lead article), Vol. 24, No. 2, pp. 115-134, 2005.

20. “Multi-Factor CIR Models of the Term Structure: Estimates and Tests from a State-Space Model Using a Kalman Filter,” with Louis O. Scott, Journal of Real Estate Finance and Economics (lead article), Vol. 27, No. 2, pp. 143-172, September 2003.

21. “The Valuation of Default-Triggered Credit Derivatives,” with Ben Sopranzetti, Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, pp. 359-, 382, June 2003.

22. “A Note on Forward Price, Forward Measure,” with Jay Huang, Vol. 19, pp. 257-271, Review of Quantitative Finance and Accounting, 2002.

23. “Option Pricing in a Multi-Asset, Complete Market Economy,” with Tyler Yang and S.L. Chung, Journal of Financial and Quantitative Analysis, Vol. 37, No. 1, pp. 117-136, March 2002.

24. “A Simple Multi-factor, Time-dependent-parameter Model for Term Structures of Interest Rates,” with Tyler Yang, Review of Quantitative Finance and Accounting (lead article), Vol. 19, No. 1, pp. 5-20, 2002.

25. “Analytical Upper Bound for American Option Prices,” with S.H. Yeh, Journal of Financial and Quantitative Analysis, Vol. 37, No. 1, pp. 117-135, 2002.

26. “A Universal Lattice” with Tyler Yang, July, Review of Derivatives Research, Vol. 3, No. 2, pp. 115-134, 1999.

27. “Valuing Fixed-Income Options and Mortgage-Backed Securities with Alternative Term Structure Models,” with Tyler Yang and Brian Maris, Journal of Business, Finance, and Accounting, Vol. 26, No. 1&2, pp. 33-56, January/March 1999.

28. “Pricing the Quality Option in Japanese Government Bond Futures,” with Bin-Huei Lin and Jian-Hsin Chou, Applied Financial Economics, Vol. 9, No. 1, pp. 51-65, February 1999.

29. “The Relevance of Interest Rate Processes in Pricing Mortgage-backed Securities,” with Tyler Yang, Journal of Housing Research, Vol. 6, No. 2, pp. 315-32, 1995.

30. “Interest Rate Options in Multi-Factor CIR Models of the Term Structure,” with Louis O. Scott Journal of Derivatives, pp. 53-72, Winter 1995.

31. “A Two-Factor Preference-Free Model for Interest Rate Sensitive Claims,” Journal of Futures Markets, Vol. 15, No. 3, pp. 345-72, May, 1995.

32. “Valuing Contingent Value Rights and Firm's Extension Decision,” Co-authored with John Wei, Journal of Financial Studies, Vol. 2, No. 1, pp. 105-125, July 1994.

33. “Maximum Likelihood Estimation of a Multi-Factor Equilibrium Model of the Term Structure of Interest Rates,” Co-authored with Louis O. Scott, Journal of Fixed Income, pp. 14-31, December 1993.

34. “Pricing Interest Rate Futures Options with Futures Style Margining,” Journal of Futures Markets, Vol. 13, No. 1, pp. 15-22, February 1993.

35. “The Constant Elasticity of Variance Family of Stock Prices in Option Pricing: Review and Integration” Co-authored with C.F. Lee, Journal of Financial Studies, Vol. 1, No. 1, pp. 29-51, July 1993.

36. “Pricing Interest Rate Options in a Two-factor Cox-Ingersoll-Ross Model of the Term Structure,” Co-authored with Louis O. Scott, Review of Financial Studies, Vol. 5, No. 4, pp. 613-36, 1992.

37. “A New Look at Interest Rate Futures Contracts”, Journal of Futures Markets, Vol. 12, No. 5, pp. 539-48, October 1992.

38. “Exact Solutions for Futures and European Futures Options On Pure Discount Bonds,” Journal of Financial and Quantitative Analysis, Vol. 27, No. 1, pp. 97-107, March 1992.

39. “Pricing Stock and Bond Options When the Default-Free Rate is Stochastic: A Comment,” Journal of Financial and Quantitative Analysis, Vol. 26, No. 3, pp. 433-34, September 1991.

non-refereed

40. “Fixed Income Total Return Swaps,” with Frank Fabozzi, Mark Anson, and Moorad Choudhry, Handbook of Finance, edited by Frank Fabozzi.

41. “Credit Risk Modeling using Structural Models,” with Frank Fabozzi, Mark Anson, and Moorad Choudhry, Handbook of Finance, edited by Frank Fabozzi.

42. “Pricing Interest Rate Derivatives using Factor Models,” with Louis Scott, Handbook in Quantitative Finance, edited by C.F. Lee.

43. “What is behind the Smile? Fat Tails or Transaction Costs,” with Oded Palmon and John Wald, Handbook in Quantitative Finance, edited by C.F. Lee.

44. “Dividends vs. Reinvestments in Continuous Time: A More General Model,” with Larry Shepp, Ben Logan, and Oded Palmon, Handbook in Quantitative Finance, edited by C.F. Lee.

45. “Displaced Log Normal and Lognormal American Option Pricing: A Comparison” with C. F. Lee, Handbook in Quantitative Finance, edited by C.F. Lee.

46. “Credit Risk Modeling: A Review” with Jinzhi Huang, Encyclopedia of Finance, edited by C.F. Lee, Springer, 2005.

47. “On the CEV Option Pricing Models -- New Evidence from S&P 500 Index Options,” with C.F. Lee and Ta-Peng Wu, Advances in Quantitative Analysis of Finance and Accounting, Vol. 7, No. 2, p. 173-190, (June) 2004.

48. “Capital Budgeting in Continuous Time, Complete Market Economy,” with C.F. Lee, Advances in Quantitative Analysis of Finance and Accounting, Vol. 10, p.117-138, 2002.

49. “Credit Default Swaps: Market and Valuation” a chapter in Professional Perspectives on Fixed Income Portfolio Management, Vol. 4, John Wiley & Sons, 2003.

50. “Pricing and Hedging Interest Rate Risks with the Multi-Factor Cox-Ingersoll-Ross Model,” with Louis Scott, Advances in Fixed Income Valuation Modeling and Risk Control, Fabozzi Publishing, 1996.

51. “Pricing Bond Options through Factor Models,” Derivatives Week, January 31, 1994.

in Chinese

52. “Valuation of Mortgage backed Securities and Value at Risk (translated title),” in Chinese, with Hsien-Hsing Liao, Sanlin Chung, Tyler Yang, and Kun-Yu Liao, Journal of Financial Studies, 2007.

53. “Net Present Value Method in Housing Price Estimation under Stochastic Interest Rates – an empirical study of Taipei (translated title)”, in Chinese, with Yi-Yu Chen and Hsien-Hsing Liao, Journal of the Land Bank, September, 1994.

54. Efficiency of Mortgage backed Securities Pricing Models – Closed Form versus Non Closed Form (translated title),” in Chinese, with Hsien-Hsing Liao and Tyler Yang, Journal of Securities Markets Development, April, 1994.

BOOKS

1. Financial Mathematics, Global Social Science Institute, 2009.

2. Credit Derivatives: Instruments, Applications, and Pricing, with Frank Fabozzi, Mark Anson, and Moorad Choudhry, John Wiley & Sons, 2003.

3. Managing Dual Rate Risks (in Chinese), with Mao-Wei Hung, Hua-Tai Publishing, 1997.

4. Understanding and Managing Interest Rate Risks, World Scientific, 1996.

WORKING PAPERS

completed

1. “The Impact of Credit Rating Announcements on Credit Default Swap Spreads,” with John Finnerty and Cameron Miller, February, 2011. (r&r at Journal of Banking and Finance)

2. “Financial Institutions in Crisis: Modeling the Endogeneity between Credit Risk and Capital Requirements,” with N. K. Chidambaran, Michael Imerman, and Ben Sopranzetti, April, 2010. (reviewed at Journal of Banking and Finance)

3. “Testing Asset Pricing Models with Ex-Ante Expected Returns,” with Dongcheol Kim and Durga Panda, November 2009. (reviewed at Journal of Empirical Finance)

4. “Economic Growth Potential Creating Unwritten Call Discounts And the Resulting Valuation of the Firm,” with Michael Long, Xiaoli Wang, and Jingfeng Zhang, November 2007.

5. “The multi-period Agency Problem,” with Hsuan-Chu Lin and Michael Long, October 2007.

6. “The Structural Agency Problem and Going Concern Rules,” with Hsuan-Chu Lin and Michael Long, October, 2007.

7. “The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models,” November 2006.

8. “Explaining the Volatility Smile: Reduced Form vs. Structural Option Models,” with Hsuan-Chu Lin and Oded Palmon, November 2006.

9. “Credit Spread Bounds and Their Implications for Credit Risk Modeling,” July, 2001, under 2nd review at Management Science.

10. “Stochastic Volatility and Jumps in Interest Rates: An Empirical Analysis,” with Louis O. Scott, January, 2002, under 2nd review at Journal of Financial and Quantitative Analysis.

11. “Valuing Bond Futures with the Quality Option,” with Peter Carr, 1996.

in progress

12. “Pricing CDOs,” with Louis Scott.

13. “A Non-Parametric Model For Default Prediction,” with Hsuan-Chu Lin and Ging-ging Pan.

14. “Liquidity Quantification and Gamma Risk,” with Sanlin Chung.

15. “Martingale Restriction Test of Asset Pricing Models”

16. “Pricing Synthetic CDOs with Fourier Inversion,” with Jun Zang.

17. “Valuing Bond Futures with the Quality Option,” with Peter Carr.

18. “Can Stock Returns Reject Normality? A Fat Tail Puzzle”

19. “The Valuation of Credit Default Swaps and the Delivery Option” with Frank Fabozzi and Frank Zhang.

20. “Credit Ratings using Market Information,” with Jeffery Huang.

ACADEMIC PRESENTATIONS

“The Impact of Credit Rating Announcements on Credit Default Swap Spreads”

Presented at the 2011 European FMA Annual Meetings at Porto, Portugal.

Presented at the 2011 FMA Annual Meetings at Denver, Colorado.

“On the Ex-Ante Cross-Sectional Relation Between Risk and Return Using Option-Implied Information”

Presented at the 2010 FMA Annual Meetings at New York, New York.

“Defining and Measuring a Multi-period Agency Problem”

Presented at the 2010 AAA Annual Meetings at San Francisco, California.

“Implied Default Probability and Capital Requirements in aFinancial Crisis: The Case of Lehman Brothers”

Presented at the 2009 FMA Annual Meetings at Reno, Nevada.

Presented at the 2009 Review of Quantitative Finance and Accounting Meetings at Piscataway, New Jersey.

“Corporate Credit Default Swap Liquidity and Its Implications for Corporate Bond Spreads”

Presented at the 2008 FMA Annual Meetings at Dallas, Texas.

Accepted at the 2008 Mid-Atlantic Research Conference in Finance (MARC), Villanova, Pennsylvania.

Presented at the 2008 FDIC Derivative Securities and Risk Management Conference, Arlington, Virginia.

“Lower Bound of European Option Price”

Presented at the 2008 FMA Annual Meetings at Dallas, Texas.

“The Structural Agency Problem and Going Concern Rules”

Presented at the 2007 AAA Annual Meetings at Chicago, Illinois.

Presented at the 2007 FMA Annual Meetings at Orlando, Florida.

“The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models,” (top 10% paper)

Presented at the 2006 FMA Annual Meetings at Salt Lake City, Utah.

“Explaining the Volatility Smile: Reduced Form vs. Structural Option Models,”

Presented at the 2006 FMA Annual Meetings at Salt Lake City, Utah.

“Sources of Credit Risk: Evidence from Credit Default Swaps”

Presented at the 2006 FMA Annual Meetings at Salt Lake City, Utah.

“Analytical Bounds for Treasury Bond Futures Prices”

Presented at the 2005 8th Conference of the Swiss Society for Financial Market Research at Zurich.

“An Explicit, Multi-factor Credit Default Swap Pricing Model with Correlated Factors”

Presented at the 2005 FMA Annual Meetings at Chicago, Illinois.

“The Valuation of TIPS with an Analytical Two-Factor Cox-Ingersoll-Ross Term Structure Model with Correlated Factors”

Presented at the 2005 FMA Annual Meetings at Chicago, Illinois.

“Optimal Strike Prices of Stock Options for Effort Averse Executives”

Presented at the 2005 FMA Annual Meetings at Chicago, Illinois.

Presented at the 2004 AAA annual meetings in Orlando, Florida.

Presented at the 2004 European Finance Association meetings in

“Bounds for Treasury Bond Futures and the Delivery Options,”

Presented at the 2003 Annual ACME meetings in Seattle, Washington.

“An Equilibrium Model for MBS Pricing,”

Presented at the 2003 Annual Lecture Series of Home Hoyt Advanced Study Institute, West Palm Beach, Florida.

“Credit Risk Modeling: A General Framework,”

Presented at the Washington Federal Reserve Bank, Washington D.C., 2003.

“Credit Spread Bounds and Their Implications for Credit Risk Modeling,”

Presented at the 2002 the International Conference on Credit Risk in Montreal, Canada.

Presented at the 2001 the 7-th Annual Derivatives Conference in New York, New York.

Presented at the 2001 Review of Quantitative Finance and Accounting Meetings in Piscataway, New Jersey.

“An Empirical-Distribution-Based Option Pricing Model: Insights Into The Volatility Smile Puzzle,”

Presented at the 2001 Review of Quantitative Finance and Accounting Meetings in Piscataway, New Jersey.

“Pricing Default Triggered Credit Derivatives,”

Presented at the 2000 Financial Management Association Meetings in New Orleans, Louisiana.

“Analytical Upper Bounds for American Options,”

Presented at the 1999 Review of Quantitative Finance and Accounting Meetings in Austin, Texas.

“An Integrated Model for the Term and Volatility Structures of Interest Rates,”

Presented at the 1997 Financial Management Association Meetings in Hawaii.

“A Universal Lattice,”

Presented at the 1996 Financial Management Association Meetings in New Orleans, Louisiana.

“Pricing MBSs with a Multi-factor Term Structure Model: What Is Wrong with the Single-factor Models?”

Presented at the 1995 Financial Management Association Meetings in New York, New York.

“Multi-factor Interest Rate Models for Mortgage-backed Securities,”

Presented at the 1995 AREURA Annual Meetings in Washington D.C.

“Valuing Bond Futures with the Quality Option,”

Presented at the 1994 American Finance Association Annual Meetings in Boston, Massachusetts.

“Interest Rate Processes in Mortgage Pricing: Relevancy and Irrelevancy,”

Presented at the 1994 AREURA Annual Meetings in Boston, Massachusetts.

“Efficiency of Mortgage Pricing Models: A Comparison between the Numerical Method and the Closed Form Model,”

Presented at the 1993 AREURA Annual Meetings in Anaheim, Califormia.

“Valuing Contingent Value Rights and Firm's Extension Decision,”

Presented at the 1992 Financial Management Association Annual Meetings in San Francisco, California.

“Implied Stock Volatility and Market Efficiency,”

Presented at the 1992 Eastern Finance Association Annual Meetings in Tampa, Florida.

“Distribution Family of Stock Prices for Option Pricing: Review, Critique, and Empirical Study,”

Presented at the 1991 Conference for Accounting and Quantitative Finance in Buffalo, New York.

“Maximum Likelihood Estimation of a Multi-Factor Equilibrium Model of the Term Structure of Interest Rates,”

Presented at the 1990 American Finance Association Annual Meetings in Washington D.C.

Presented at the 1990 Southern Finance Association Annual Meetings in Savannah, Georgia.

“Closed Form Solutions For Bond Futures And Options On Bond Futures,”

Presented at the 1990 Conference for Accounting and Quantitative Finance in New Brunswick, New Jersey.

Presented at the Waterloo 1989 Bond Options Conference in Waterloo, Canada.

INDUSTRY PRESENTATIONS

“Valuation of Liquidity Discount”

Presented at S&P 2011 Advances in Quantitative Credit Analysis.

Presented at 2011 GARP New York Charter.

HONORS

Frequent Recipient of Rutgers Business School FASIP Award (for excellent academic performances)

Finalist of 1993, 1992, 1991 School of Business Thomas Mott Teaching Award

Best paper in investments, Southeast Financial Association, 1993.

Finalist of 1991 FMA Dissertation Contest

GRANTS RECEIVED

Faculty of Management 1999 – 2000, 2002 – 2009

University Research Council 1991, 1992

NSF Supercomputer Grant 1992/1 – 1993/2

Chicago Board of Trade 1991

ACADEMIC SERVICES

Doctoral students advised

Chairman or Co-chairman of:

Te-Chien Lo (current), Michael Imerman (2011)d, Durga Panda (2010), Ronald Sverdlove (2007)c, Mary Kay Scucci (2007)b, Xioalin Cheng (2006), Hsuan-Chu Lin (2006), Bo Liu (2006)a, Vadim Mezrin (2005), Da-Peng Wu (1996)^a.

Committee member of:

Arnav Sheth (2007, Palmon chairman), Hang-Hsing Lee (2007, Lee chairman), Wei Wu (2007, Shafer chairman), Xiaoli Wang (2006, Long chairman), Paul Chiu (2004, Lee chairman), Helen (1996, Long chairman), Lili (1996, Lee chairman), Yurong Liu (1994, Lee chairman), Da-yeh Huang (1991, Lee chairman)

Committee member of (outside of finance):

Fang Chu (2009, NJIT, Nakayama chairman), Lakshminarasimhan (2005, stat, Singh chairman), Jun-ming Tsai (2004, econ, Lee chairman), Jun Liu (2004, stat, Shepp chairman)

Committee service

Executive committee member of 2008 Midwest Financial Association

Journals serviced

Associate editor of:

Review of Derivatives Research, Taiwan Academy of Management Journal, Financial Analysis and Risk Management, Review of Pacific Basin Financial Markets and Policies

Referee of:

Review of Economics and Statistics, Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Economics and Dynamic Control, Management Science, Review of Quantitative Finance and Accounting, Journal of Banking and Finance, Journal of Futures Markets, Financial Management, Journal of Empirical Finance, Review of Derivatives Research, Financial Analyst Journal, and others.