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Humboldt-Universität zu Berlin - Statistik

Cathy Y. Chen

Contact

  •   email   chencath@hu-berlin.de
  •   Phone / Fax
      +49 30 2093-5625 / +49 30 2093-5649
  •   Office / Office hours:
      SPA1, 405 / upon agreement

Email Address

Humboldt University of Berlin
School of Business and Economics
Ladislaus von Bortkiewicz Chair of Statistics
Unter den Linden 6
10099 Berlin
Germany

Personal homepage

http://www.cathychen.tw


 

Research Interests

My recent research interests focus on three angles.

First, text mining and financial analysis. The statistical analytics: such as Machine Learning, Lexicon Projection, Latent Semantic Analysis, Latent Dirichlet Allocation and Topic Modelling, have been comprehensively applied to distill and analyze information content of unstructured financial news. 

Second, refine credit risk models to produce sharper forecasting on value-at-risk, and to carry out improved risk management.

Third, apply innovated econometric methods to important financial issues.

Industry Consulting

Cathay Life Insurance (2011.03-2013.06).

China Life Insurance (2012.01-2013.01).

NanShan Life Insurance (2014.06-2016.01).

 

Positions


Professor, International Research Training Group, 1792 - High Dimensional Non Stationary Time Series, Humboldt University, Berlin 
Member, Princeton-Humboldt Cooperation and Collective Cognition Network (CoCCoN)
Visiting Fellow of Sim Kee Boon Institute of Financial Economics, Singapore Management University
Publications

Junni Zhang, Wolfgang K. Härdle, Cathy Yi-Hsuan Chen, Elisabeth Bommes, 2016 'Distillation of news flow into analysis of stock reactions',  Journal of Business & Economic Statistics 34, 547-563.Special issue on Big Data. DOI: 10.1080 / 07350015.2015.1110525

Cathy Yi-Hsuan Chen, Thomas C. Chiang, 2016 'Empirical analysis of the intertemporal relation between downside risk and expected returns: Evidence from time-varying transition probability models', European Financial Management 22, 749-796 (leading article) DOI: 10.1111 / eufm.12079. 

Cathy Yi-Hsuan Chen, Thomas C. Chiang, Wolfgang K. Härdle, 2016. 'Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 countries', submitted to Journal of Banking & Finance , minor revised and resubmitted.

M. Linton, EGS Teo, E. Bommes, Cathy Yi-Hsuan Chen, WK Härdle, 2016. 'Dynamic modeling topic for crypto currency community forums', Applied Quantitative Finance 3 rd edition, Springer Verlag, Heidelberg.

Cathy Yi-Hsuan Chen, Thomas C. Chiang, 2016. 'Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates', has been accepted and forthcoming in  Review of Quantitative Finance and Accounting . DOI: 10.1007 / s11156- 016-0584-y

Meng-Jou Lu, Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, 2016. 'copula-based factor model for credit risk analysis', has been accepted and forthcoming in Review of Quantitative Finance and Accounting .

Cathy Yi-Hsuan Chen, Wolfgang K. Härdle 2015 'Common factors in credit defaults swaps markets',  Computational Statistics 30, 845-863. (SCI)

Cathy Yi-Hsuan Chen, I-Doun Kuo 2015 'Survey sentiment and interest rate option smile' International Review of Economics & Finance 37, 125-137. (SSCI)

Cathy Yi-Hsuan Chen, I-Doun Kuo, Thomas C. Chiang, 2014, 'What is the explanation of the hypothesis? Market irrationality vs. the peso trouble', Journal of International Financial Markets, Institutions & Money 30, 172-190 . (SSCI) 

Cathy Yi-Hsuan Chen, I-Doun Kuo 2014 'Investor sentiment and interest rate volatility smile: Evidence from Euro Dollar options markets', Review of Quantitative Finance and Accounting 43, 367-391 

Cathy Yi-Hsuan Chen, Anthony H. Tu, 2013, 'Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk', International Review of Economics & Finance . 27, 514-528 (SSCI)

 

 

Teaching

Statistics of Financial Markets I (VL + UE)

Economic Risk Seminar (ES)

Advance Methods in Quantitative Finance

Q-Kolleg: Digital Economy and Decision Analytics

PRI