Chen Rongda

Chen Rongda

Chen Rongda, male, Deputy Dean, Professor, Ph.D. (post), School of finance, Zhejiang University of Finance and economics, is the young and middle-aged discipline leader of Zhejiang universities, and the person in charge of "applied economics" finance direction of Zhejiang humanities and Social Sciences key research base. He is mainly engaged in the study and research of financial engineering and financial risk measurement.

Academic part time job

Executive director of China Finance Annual Meeting

Executive director of China Financial Engineering Annual Meeting

Director of China Society of quantitative economics

Standing member of the youth working committee of the Chinese Society for the study of optimization of law and Economic Mathematics

They are the paper reviewers of European Journal of operational research (SCI), Journal of management science, theory and practice of systems engineering, Journal of systems engineering, Chinese management science, Journal of management, etc.

research field

Financial engineering, financial risk management, corporate finance

Representative thesis

Chen Rongda, LV Yi. Nonlinear VAR model of option portfolio based on projection dimension reduction technique. Journal of management science. 2012,15 (3): 72-82

Chen Rongda, Lu Jinrong. Monte Carlo method for comprehensive risk measurement of defaultable zero coupon bonds based on intensity pricing model

Journal of management science. 2012,15 (4): 88-98

Chen Rongda, Wang Chunfa. Nonlinear VAR model of foreign exchange option portfolio based on multivariate Laplace distribution. Systems engineering

Theory and practice, 2010,30 (2): 315-323

Chen Rongda, LV Yi. Fast convolution method for risk measurement of option portfolio market. Research on quantitative economy and technical economy, 2010,27 (7): 132-141

Chen Rongda, Ma Qingguo, sun yuan. Nonlinear VAR model of foreign exchange option portfolio based on the thick tail of exchange rate return. Journal of management engineering, 2009,23 (3): 115-119

Chen Rongda. Two nonlinear var calculation methods for foreign exchange option market risk. Journal of systems engineering, 2005,20 (1): 94-97

ChenRongda.EstimatingTime -varyingCovarianceMatrixofFXRetur nsBasedonEMAlgorithm.InternationalJournalofComputationalScience ,2009,3(2):222-232.

Award winning achievements

Research on risk measurement of foreign exchange option portfolio market won the first prize of scientific research achievements of universities in Zhejiang Province, 2010

Chinese PinYin : Chen Rong Da