戚书源

助理教授

CV：download

Web： https://sites.google.com/view/shuyuanqi/home

Tel: 010-62289266

E-mail: shuyuan.qi@cufe.edu.cn

Office:学术会堂807

EMPLOYMENT

Assistant Professor of Finance, Central University of Finance and Economics (CUFE), 2022 - present

EDUCATION

PhD in Finance at ICMA Centre, University of Reading, UK, 2017 - 2021

MSc in Financial Engineering at ICMA Centre, University of Reading, UK, 2016 - 2017

BA in Management at Nankai University, China, 2011 - 2015

RESEARCH INTERESTS

Risk management and measurement; model risk; risk premium; derivatives modelling; option pricing; jumps

Publication

Model Risk in the Over-the-Counter Market, European Journal of Operational Research (ABS 4), corresponding author, (with Dr Emese Lazar)

WORKING PAPERS

1. Measures of Model Risk for Continuous-time Finance Models, with Dr Emese Lazar (University of Reading) and Professor Radu Tunaru (University of Sussex). R&R at Journal of Financial Econometrics (ABS 3)

2. An Empirical Investigation of Multiperiod Tail Risk Forecasting Models, with Dr Ning Zhang (Shanghai University) and Dr Xiaoman Su (Hengfeng Bank). R&R at International Review of Financial Analysis (ABS 3)

3. Forward Equity Risk Premium and Its Economic Implications, with Dr Emese Lazar (University of Reading) and Professor Radu Tunaru (University of Sussex). Under Review

4. Price Limits, with Jian Chen (University of Reading)

WORKS in PROGRESS

1. The Cross-Sectional Variation of Forward-Looking Market Risk Premium, with Dr Emese Lazar(University of Reading) and Professor Radu Tunaru (University of Sussex)

2. The Local Effect of Carbon Trading: Evidence in China, with Dr Ning Zhang (Shanghai University) and Dr Xiaoman Su (Hengfeng Bank)

TEACHING

Investment Banking and Commercial Bank Management, MSc Finance

Commercial Bank Management, BSc Finance

REFEREEING

International Review of Financial Analysis; Journal of Asian Business Studies