Dr. David Li is a Professor of Practice at Shanghai Advanced Institute of Finance (SAIF) at Shanghai Jiao Tong University. He serves as MF Program Faculty Director, Faculty Director of Career Development Center, and Associate Director of CAFR. Before joining SAIF, Professor Li had an extensive career spanning more than two decades at leading financial institutions, where he worked in areas such as new product development, risk management, asset & liability management, and investment analytics. He held prominent positions, including Chief Risk Officer at 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.
Professor Li is recognized as one of the pioneers in credit derivatives. His seminal work on using copula functions for credit portfolio modeling has been widely cited in academic research; extensively used by practitioners for credit portfolio trading, risk management, and rating; and covered by prominent media outlets such as The Wall Street Journal, Financial Times, and Nikkei CBC News.
In recognition of his outstanding contributions, Professor Li received the "Excellent Educator Award" from Shanghai Jiao Tong University in 2022.
Journal Publications
1. 袁先智，周云鹏，严诚幸，刘海洋，钱国骐，王帆，韦立坚，李志勇，李波， 李祥林，曾途, 2022, 财务欺诈风险特征筛选框架的建立和应用, 《中国管理科学》。
2. 袁先智，狄岚，李祥林，郭铁信，李波，Guoqi QIAN，张千友，严诚幸，刘海洋，吴桐，曾途，周云鹏, 2021, 在大数据框架下基于吉布斯抽样的随机搜索方法在金融风险特征提取中的应用, 计量经济学报.
3. Albanese, Claudio, David X. Li, Edgar Lobachevskiy, and Gunter Meissner, 2013, A Comparative Analysis of Correlation Approaches in Finance, Journal of Derivatives.
4. Li, David X., 2006, It Is All about Credit, North American Actuarial Journal.
5. Li, David X., and H. J Turtle, 2000, Semiparametric ARCH Models: An Estimating Function Approach, Journal of Business and Economic Statistics.
6. Li, David X., 2000, On Default Correlation: A Copula Function Approach, Journal of Fixed Income.
7. Li, David X., 1999, The Valuation of Basket Credit Derivatives, CreditMetrics Monitor.
8. Li, David X., 1998, Constructing a Credit Curve, Journal of Credit Risk.
9. Li, David X., 1994, Immunization Measurement for Life Contingencies, Mathematics.
