Prof. & Dr.Ping Li

Professor of Finance

School of Economics and Management

Beihang University

No.37, Xueyuan Road, Haidian District,Beijing, 100191

Tel: ++86-10-82315110(O), Fax:++86-10-82328037

E-mail:liping124@buaa.edu.cn,lipingxx@126.com

Education:

Ph.D.: Institute of Applied Mathematics, Chinese Academy of Sciences, Ph.D. on Probability and Statistics(Mathematical Finance)

M.S.: School of Mathematics and Computer Sciences, Hubei University,Masteron Mathematics (Probability Theory and Stochastic Process)

B.S.: School of Mathematics and Computer Sciences, Hubei University, Bachelor on Mathematics

Research Interests:

Financial Derivatives; Financial Risk Management;Corporate Bonds;

Credit Risk;Commercial Banks; Portfolio Selection

Academic Positions:

2012.7-present: Professor of Finance, School of Economics and Management,Beihang University

2020.1-2020.8: Visiting Scholar,Business School, Rutgers University

2019.4: Visiting Scholar,School of Management,Yale University, USA

2019.3: Visiting Scholar, Department of Operations Research and Financial Engineering,Princeton University, USA

2002.5-2012.6: Associate Professor of Finance, School of Economics and Management,Beihang University

2009.9-2009.12: Visiting Scholar, Department of Statistics/Department of Industrial Engineering and Operations Research,Columbia University,USA

2008.11-2009.8: Visiting Scholar of Finance, Moore School of Business,University of South Carolina, USA

2006.9-2006.11: Research Fellow on Financial Engineering,

Department of System Engineering and Engineering Management,Chinese University of Hong Kong

2006.7-2006.9: Research Fellow on Computational Finance

Department of Computer Science,City University of Hong Kong

2000.5-2002.5: Post-Doctoron Financial Management,

Laboratory of Management, Decision and Information System,

Institute of System Sciences,Chinese Academy of Sciences

2001.3-2001.6: Visiting Scholar, Department of Financial and Actuarial Mathematics,Vienna University of Technology, Vienna, Austria

Selected Publications:

[1]Ping Li, Yanhong Guo, Hui Meng. The Default Contagion of Contingent Convertible Bonds in Financial Network,The North American Journal of Economics and Finance, 2022 (60), 101661.

[2]Ping LI, Yanhong GUO, Hui MENG, Lixin HUANG. The Impact of CoCo Bonds on Banking System's Net Value,Finance Research Letters,2022, 102743 (forthcoming).

[3]Dong Wang, Ping Li, Lixin Huang, Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic,Finance Research Letters, 2022 (46),102244.

[4]Ping Li, Yanhong Guo & Hui Meng.The impact of CoCo bonds on systemic risk considering liquidity risk,Quantitative Finance,2021,1909113.

[5]Yanhong Guo, Ping Li,AihuaLi, Tail risk contagion between international financial markets during COVID-19 pandemic,International Review of Financial Analysis, 2021, 73, 101649.

[6]Li Jie,Li Ping, Empirical Analysis of the Dynamic Dependence between WTI oil and Chinese energy stocks,Energy Economics, 2021 (93), 104299.

[7]Fangfang LI, Ping LI. Dynamic correlations and spillover effects between CoCo bonds and other financial assets: Evidence from European banking[J].Finance Research Letters, 2021,18: 101486.

[8]P. Li,Y. Han,S. Lin&T. Qiao,Chinese write-down bonds: issuance and bank capital structure,Quantitative Finance, 2020, 20(12), 2055-2065.

[9]Jie LI, Lixin HUANG, Ping LI. Are Chinese Crude Oil Futures Good Hedging Tools? Accepted by Finance Research Letters, 2020, 38:101514.

[10]Han Y, Li P, Li J, et al. Robust Portfolio Selection Based on Copula Change Analysis[J].Emerging Markets Finance and Trade, 2020,56: 3635–3645.

[11]Li P, Meng H, Li Z. An Empirical Analysis of the Impact of Credit Risk Mitigation Warrants on Bonds: Evidence in Chinese Markets[J].Emerging Markets Finance and Trade, 2019, 55(13): 2970-2981.

[12]Li Ping, Meng Hui, Yu Feihui, Write-Down Bonds and Bank Capital Structure,Quantitative Finance, 2018,18(9): 1543–1558.

[13]Li Ping, Zhang Ziyi, Yang Tianna, Zeng Qingchao, The relationship among China’s fuel oil spot, futures and stock markets,Finance Research Letters, 2018,24：151-162.

[14]Yang T, Hou W, Li P. Short-run price performance of venture capital trust in initial public offerings[J].Finance Research Letters, 2018, 25: 177-182.

[15]Yingwei Han, Ping Li, Yong Xia, Dynamic robust portfolio selection with copulas,Finance Research Letters, 2017, 21: 190–200.

[16]Li Ping, Han Yingwei, Xia Yong, Portfolio optimization using asymmetry robust mean absolute deviation model,Finance Research Letter,2016, 18: 353–362.

[17]Li Ping and Li Zezheng, Change Analysis of Dependence Structure and Dynamic Pricing of Basket Default Swaps,European Financial Management, 2015,21(4): 646-671.

[18]Yingwei Han, Yong Xia, Ping Li*,Minimizing the object space error for pose estimation: towards the most efficient algorithm,Journal of Nonlinear Sciences and Applications, 2017, 10: 5540–5551.

[19]Li Ping, Wang Xiaoxu, Empirical Pricing of Chinese Defaultable Corporate Bonds Based on the Incomplete Information Model,Mathematical Problems in Engineering, 2014.

[20]Ping Li and Jing Song，Pricing Chinese Convertible Bonds with Dynamic Credit Risk，Discrete Dynamics in Nature and Society，2014.

[21]Ping Li, Shi Peng, Pricing of LIBOR Futures by Martingale Method in Cox-Ingersoll-Ross Model, to Journal of System Science and Complexity, 2010, 23: 261-269.

[22]Li Ping, Wei Zhiyi and Chen Housheng. A Copula Approach to Default Correlation and the Pricing of Basket Default Swap,American Journal of Mathematical and Management Sciences(AJMMS), 2010.

[23]Li Ping and Wang Shouyang. Optimal Martingale Measure Maximizing the Total Utility of Consumption with Applications to Contingent Claim Pricing,Optimization, 2008, 57(5):691–703.

[24]Cheng Gang, Li Ping and Shi Peng, A New Algorithm Based on Copulas for VaR Valuation with Empirical Calculations,Theoretical Computer Science, 2007, 378: 190–197.

[25]Li P, Chen HS, Deng XT, Zhang SM. On default correlation and pricing of collateralized debt obligation by copula functions,International Journal of Information Technology & Decision Making, 2006, 3: 483-493.

[26]Li, P., H.S. Chen, D.D. Huang and X.J. Shi. On Portfolio’s Default-Risk-Adjusted Duration and Value: Model and Algorithm Based on Copulas,Lecture Notes in Computer Science, 2006,4286: 214-224.

[27]Li, P., Shi, P. and G.D. Huang. A New Algorithm Based on Copulas for Financial Risk Calculation with Applications to Chinese Stock Markets.Lecture Notes in Computer Science, 2005, 3828: 481-490.

[28]Li Ping, Xia Jian-Ming. Minimal martingale measures for discrete-time incomplete financial markets.Acta mathematicae Applicatae Sinica,2002, 18(2): 349-352.

[29]Li Ping, Yan Jia-An. Growth optimal portfolio for a discrete-time financial market.Advances in Mathematics, 4, 2002.

[30]Li Ping, Xia Jian-Ming and Yan Jia-An. Martingale measure method for Utility maximization in discrete-time incomplete financial market.Annals of Economics and Finance, 2001, 2(2), 445-465.

Main Research Projects:

[1]Research on public debt cycle modeling, public debt risk analysis and management, Supported by National Natural Science Foundation of China(NSFC, Principalof Subproject),2021.01-2025.12;

[2]Design and Pricing of Chinese CoCo Bonds and Their Impact on the Capital Structure of Chinese Commercial Banks,Supported by National Natural Science Foundation of China(NSFC, Principal),2016.01-2019.12;

[3]Defaultable Corporate Bond Pricing and Credit Portfolio Management Based on Dynamic Factor Copulas and DCC Model,Supported by National Natural Science Foundation of China(NSFC, Principal),2013.01-2016.12;

[4]Credit derivative pricing based on dynamic copulas,Supported by National Natural Science Foundation of China(NSFC, Principal),2010.01-2012.12;

[5]Multi-asset option pricing based on martingales and copulas in discrete-time incomplete financial markets, Supported by National Natural Science Foundation of China(NSFC, Principal), Grant No. 70501003,2006.01-2008.12;

[6]Quantitative analysis and calculation in financial risk control,Supported by National Basic Research Program of China(973 Program, Main Participant),Grant No.2007CB814906,,2008.01-2012.12;

[7]Diversity of national currency reserve and international asset allocation,Supported by National Natural Science Foundation of China(NSFC,Main Participant), Grant No.70831001,2009.01-20012.12;

[8]Research on the design, implement strategy and innovation of Chinese Yuan derivatives,Supported by National Natural Science Foundation of China(NSFC,Main Participant), Grant No. 70741009, 2007.06-2008.04;

[9]Futures pricing based on martingales in discrete-time incomplete financial markets, Supported by National Natural Science Foundation of China(NSFC,Kernel Participant), Grant No. 70371006,2004.01-2006.12;

[10]Option pricing and optimal portfolio selection, Support by Post-DoctorScience Foundation of China(Principal),2001.1-2002.12.

[11]Curriculum system and teaching technology for masters majoring in Financial Engineering, Supported by Graduate school of Beihang University (Principal),2004.07-2006.5

Main Awards and Scholarship:

[1]“Best Paper”Award,2022, 19th International Conference on Risk Management and Financial Systems Engineering;

[2] “Best Paper”Award,2018-2020,16-18th International Conference on Risk Management and Financial Systems Engineering;

[3]“Best Paper”Award,2014-2015,12-13th International Conference on Risk Management and Financial Systems Engineering;

[4]“Best Paper”Award,2010,8th International Conference on Risk Management and Financial Systems Engineering;

[5]“Blue Sky Star”Research Award, 2006, BeiHang University;

[6]“Best Paper”Award, 2002, Cross-Straits Conference of Probability and Statistics

Courses Teaching and Taught:

Domestic/Foreign

Undergraduates:Financial Derivatives; Financial Engineering,

Domestic Postgraduates: Advanced Financial Derivatives;

Advanced Financial Engineering,

Mathematical Finance; International Financial Markets

Foreign Postgraduates: Financial Derivatives; Investment,

Applied Portfolio management; Economics

MBA: Security Market; International Business English

Journal Referee:

Insurance: Mathematics and Economics (IME),

Quantitative Finance,

Finance Research Letters

Communications in Statistics – Theory and Methods

Journal of System Science and Complexity

Services and Other Professional experiences:

2021.07-present:Deputy Secretary General,“Quantitative Financeand Insurance”Association of  China;

2018.11-present: Deputy Secretary General,“Financial Econometrics”Association of China;

2009.10-present:Deputy Secretary General,“Financial System Engineering”Association of China

2022.03-present:Independent Director,Dameng Database co., Ltd.

2019.01-2019.12: Deputy Director, Financial Service Office of Da Xing District, Beijing

2015.08-2016.08:Deputy Manager, Financial Management Department, Capital Group, Beijing;

2010.7-2010.12: Director Assistant, Haidian Bureau of Housing Management, Beijing