David X. Li is a Professor of Practice at Shanghai Advanced Institute of Finance (SAIF), Associate Director of CAFR and MF Program Academic Co-Director.
Previously, he worked at leading financial institutions for more than two decades in the areas of new product development, risk management, asset/liability management and investment analytics.
He was the Chief-Risk-Officer for China International Capital Corporation (CICC) Ltd., Head of Credit Derivative Research and Analytics at Citigroup and Barclays Capital, and Head of Modeling for AIG Investments.
Dr. Li is currently an Associate Editor for North American Actuarial Journal, an Adjunct Professor at the University of Waterloo, a senior research fellow at Global Risk Institute in Toronto, and a senior advisor to the Risk Management Institute at National University of Singapore. Dr. Li was one of the pioneers in credit derivatives. His seminal work of using copula functions for credit portfolio modeling has been widely cited by academic research, broadly used by practitioners for credit portfolio trading, risk management and rating, and well covered by media such as Wall Street Journal, Financial Times, Nikkei CBC News.
David has a PhD degree in Statistics from the University of Waterloo, M.A. in Economics, Finance and Actuarial Science, and B.A. in Mathematics.
Risk Management, Financial Regulation, Credit, Derivative Market, Insurance and Fintech.
1. Albanese, Claudio, David X. Li, Edgar Lobachevskiy, and Gunter Meissner, 2013, A Comparative Analysis of Correlation Approaches in Finance, Journal of Derivatives.
2. Li, David X., 2006, It Is All about Credit, North American Actuarial Journal.
3. Li, David X., and H. J Turtle, 2000, Semiparametric ARCH Models: An Estimating Function Approach, Journal of Business and Economic Statistics.
4. Li, David X., 2000, On Default Correlation: A Copula Function Approach, Journal of Fixed Income.
5. Li, David X., 1999, The Valuation of Basket Credit Derivatives, CreditMetrics Monitor.
6. Li, David X., 1998, Constructing a Credit Curve, RISK.
7. Li, David X., 1994, Immunization Measurement for Life Contingencies, 4th AFIR Proceedings.
- Financial Risk Management, Machine Learning: Foundations and Basics.