FENG ZHAO
Jindal School of Management
The University of Texas at Dallas
800 W. Campbell Rd. SM. 31, Richardson, TX, 75080
Educational History
Ph. D., 2004, Cornell University, Economics
M. A., 2002, Cornell University, Economics
B. S., 1998, Tsinghua University, China, Economics and Physics
Employment History
Associate Professor of Finance, 2011-current
Naveen Jindal School of Management, University of Texas at Dallas
Assistant Professor of Finance, 2008-2011
Naveen Jindal School of Management, University of Texas at Dallas
Assistant Professor of Finance, 2005-2008
Rutgers Business School, Rutgers University
Assistant Professor of Finance, 2004–2005
School of Business, Fordham University
Area of Interests
Fixed income securities, derivatives pricing, credit risk, financial econometrics, and real estate finance
Papers and published articles
"Subprime Mortgage Defaults and Credit Default Swaps", with Eric Arentsen, David Mauer, Brian Rosenlund and Harold Zhang, under 4th round review in Journal of Finance
Presented in 2013 AFA annual meeting
"Economic Catastrophe Bonds: Inefficient Market or Inadequate Model?", with Haitao Li, revision requested at Critical Finance Review
Presented in 2013 AFA annual meeting
"Cautious Risk-Takers: Investor Preferences and Demand for Active Management", with
Valery Polkovnichenko and
Kelsey Wei
Best paper award in 2013 FMA Asian conference
“Tug-of-War: Incentive Alignment in Securitization and Loan Performance”, with Zhonglan Dai and Harold H. Zhang
Presented in 2013 WFA meeting
"Empirical Pricing Kernels: Implications for Probability Weights", with Valery Polkovnichenko, 2013, Journal of Financial Economics 107, 580–609
"Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices", with Haitao Li, 2009, Review of Financial Studies 22(11):4335-4376.
"Can the Random Walk Model be beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates", with Yongmiao Hong and Haitao Li, 2007, Journal of Econometrics 141.2:736-776.
"Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture It?", with Robert Jarrow and Haitao Li, 2007, Journal of Finance62.1:345-382.
"Downside Loss Aversion and Portfolio Management", with Robert Jarrow, 2006, Management Science 52:558-566.
"Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives", with Haitao Li, 2006, Journal of Finance 61.1:341-378.
"Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models", with Yongmiao Hong and Haitao Li, 2004, Journal of Business and Economic Statistics 22.4:457-473.
"Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing", 2010, in Handbook of Quantitative Finance and Risk Management, edited by CF Lee, A. Lee and J. Lee, 713-753, Springer.
Reprinted in Handbook of Financial Econometrics and Statistics, Springer.
Work in progress
“Are Searches on Weekends more Influential on Stock Price?”, with Qiang Ye and Xianwei Liu
"Credit Risk Discovery in the Sovereign CDS Market", with Horacio Sapriza and Xing Zhou
Invited or refereed talks/presentations to professional meetings
Financial Intermediation Research Society (FIRS) Conference, Quebec City, Canada, June 2014.
The Western Finance Association Meeting, Lake Tahoe, June 2013
23rd Annual Derivatives & Risk Management Conference, FDIC, March 2013
The American Finance Association Winter Meeting, San Diego, January 2013
21st Annual Derivatives & Risk Management Conference, FDIC, March 2012
McGill University/IFM2/CREATES Fourth Risk Management Conference, Quebec, March 2012
2012 International Conference on Management Science and Engineering, UTD, September 2012
2011 China International Conference in Finance, Wuhan, China, July 2011
The Financial Management Association Annual Meeting, New York, October 2010
2010 China International Conference in Finance, Beijing, China, July 2010
The Western Finance Association Meeting, Victoria, June 2010
The Financial Management Association Annual Meeting, Reno, October 2009
The American Finance Association Winter Meeting, San Francisco, January 2009
The Econometric Society North American Winter Meeting, New Orleans, January 2008
2007 China International Conference in Finance, Chengdu, China, July 2007
17th Annual Derivatives Securities and Risk Management Conference, FDIC, April 2007
The Financial Management Association Annual Meeting, Salt Lake City, October 2006
13th Annual Conference on Pacific Basin Finance, Economics and Accounting, Rutgers, June 2005
15th Annual Derivatives Securities and Risk Management Conference, FDIC, April 2005
Bank of Canada Workshop on Fixed Income Markets, Montréal, November 2004
The Western Finance Association Meeting, Vancouver, June 2004
The Econometric Society North American Winter Meeting, San Diego, January 2004
The European Finance Association Meeting, Scotland, August 2003
The Econometric Society North American Winter Meeting, Washington D.C., January 2003
The European Econometric Society Summer Meeting, Italy, August 2002
PanAgora Asset Management Meeting, Boston, October 2002
Invited seminars: Fordham, Rutgers, Singapore Management Univ., Temple, Univ. of Arizona, UC Riverside, Univ. of Houston, Univ. of Iowa, UMass-Amherst, UTexas at Dallas, UTexas at San Antonio, Chinese University of Hong Kong, City University of Hong Kong
Teaching
Courses Taught:
Fixed Income Securities (Master’s)
Financial Asset Pricing and Engineering (Master’s)
Risk Management (Doctoral)
Futures and Options (Undergraduate and Master’s)
PhD Students Committee:
Ahmed Alzahrani (UTD, 2012)
Minh Le (UTD, 2011)
Wei Wu (Rutgers, 2007)
Xiaowei Liu (Rutgers, 2006)
University Service
Special service contributions to program, school, or university
Chair of finance area recruiting committee, 2012
Member of finance area recruiting committee, 2011
Co-organizer of finance area seminars, 2010
Committee for Library and Database, 2009
Professional Service
Ad hoc referee
Finance Research Letters, Global Finance Journal
, Journal of Econometrics, Journal of Empirical Finance, Journal of Futures Market, Management Science, Quantitative Finance, Review of Financial Studies, Review of Quantitative Finance and Accounting
External reviewer for annual faculty research grant program in the City University of New York, 2009 and 2010
External reviewer for Research Grants Council (RGC) of Hong Kong, 2012 and 2013
Conference organizing committee member for China International Conference in Finance, 2010, 2011 and 2012
Last Updated: January 2014
