LI, David X.
Professor of Practice, Associate Director of CAFR, MF Program Academic Co-Director
  • 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 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. 

  • Research Interests
    Risk Management, Financial Regulation, Credit, Derivative Market, Insurance and Fintech.

    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, 2021, 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, RISK.

    9. Li, David X., 1994, Immunization Measurement for Life Contingencies, .

  • Financial Risk Management, Machine Learning: Methods and Application in Finance