Dr. P.C. ChenAssistant Professor
Peng-Chu Chen joined the University of Hong Kong IMSE department in September 2016.
His research interests are in financial engineering, with special focus on systemic risk and contagion in financial networks. His research contributes to the understanding of the financial contagion mechanisms, the impact of network topology on systemic losses, and the prescriptive policies for systemic risk. His research has been published in top tier journals including Operations Research, Mathematical Finance and Journal of Economic Dynamics and Control.
Peng-Chu received his Ph.D. degree in Industrial Engineering from Purdue University in 2016 and his Master’s degree in Transportation Engineering from University of California, Berkeley in 2003.
Credit Portfolio Selection with Decaying Contagion Intensities. (with B. Lijun and A. Capponi). Mathematical Finance, Forthcoming.
Liability Concentration and Systemic Losses in Financial Networks. (with A. Capponi and D.D. Yao). Operations Research, Vol. 64, No. 5, pp. 1121-1134, 2016.
Systemic Risk Mitigation in Financial Networks. (with A. Capponi). Journal of Economic Dynamics and Control, Vol. 58, No. 15, pp. 152-166, 2015.