Ren-Raw Chen

Professor, Finance and Economics Department, Fordham University

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.

EDUCATION: Ph.D., University of Illinois at Urbana-Champaign 

CONTACT INFORMATION:
Office: (212) 636-5471 
E-mail: rchen@fordham.edu
Website

Dissertations Supervised:

Name: Cheng, Xiaolin
Graduation Date: 2006/October
Thesis Title: Asset Pricing of Credit Risk

Name: Imerman, Michael
Advisors: Chen, Ren-Raw and Sopranzetti
Graduation Date: 2011/May
Thesis Title: Structural Credit Risk Models in Banking with Applications to the Financial Crisis

Name: Lin, Hsuan-Chu
Graduation Date: 2006/May
Thesis Title: Asset Backed Securities: Theory and Evidence

Name: Lo, Te-Chien
Graduation Date: 2012/May
Thesis Title: Two Theories on Information Asymmetry in Finance

Name: Mezrin, Vadim
Graduation Date: 2005/May
Thesis Title: Determinants of the Choice of Financial Instruments: An Empirical Investigation

Name: Panda, Durga
Graduation Date: 2010/May
Thesis Title: Risk-Adjusted Information Content in Option Prices

Name: Sverdlove, Ronald
Graduation Date: 2008/January
Thesis Title: Essays in the Economics of Fixed Income Securities