Tianyang Wang

Colorado State University - Department of Finance & Real Estate

Associate Professor

Finance and Real Estate Department

1272 Campus Delivery

Fort Collins, CO 80523

United States

SCHOLARLY PAPERS

16

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1,163

SSRN CITATIONS
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SSRN RANKINGS

Top 40,541

in Total Papers Citations

1

CROSSREF CITATIONS

12

Scholarly Papers (16)

1.

Enterprise Risk Management and Diversification Effects for Property and Casualty Insurance Companies

Number of pages: 37 Posted: 08 Apr 2014
Jing Ai, Vickie L. Bajtelsmit and Tianyang Wang
University of Hawaii at Manoa - Shidler College of Business, Colorado State University, Fort Collins and Colorado State University - Department of Finance & Real Estate
Downloads 320 (94,690)
Citation 2

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erprise Risk Management (ERM), Diversification Effect, Property and Casualty, Insurance Company Performance

Optimal Enterprise Risk Management and Decision Making with Shared and Dependent Risks

Number of pages: 46 Posted: 12 Nov 2013
Jing Ai, Patrick L. Brockett and Tianyang Wang
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management and Colorado State University - Department of Finance & Real Estate
Downloads 269 (113,603)
Citation 2

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Enterprise Risk Management(ERM), Capital Budgeting, Risk Dependency, Copula Modeling, Decisions under Uncertainty

Optimal Enterprise Risk Management and Decision Making with Shared and Dependent Risks

Journal of Risk and Insurance, Vol. 84, Issue 4, pp. 1127-1169, 2017
Number of pages: 43 Posted: 05 Nov 2017
Jing Ai, Patrick L. Brockett and Tianyang Wang
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management and Colorado State University - Department of Finance & Real Estate
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3.

Default Prediction Models: The Role of Forward-Looking Measures of Returns and Volatility

Journal of Empirical Finance, Vol. 46, 2018
Number of pages: 39 Posted: 30 Jul 2014 Last Revised: 11 Feb 2018
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Downloads 110 (250,210)

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Distance to Default, Default Prediction

4.

Valuing Real Options in the Volatile Real World - A Generalized Implied Binomial Tree Approach

Number of pages: 38 Posted: 05 Feb 2018
Seiji Harikae, Tianyang Wang and James Dyer
University of Texas at Austin, Colorado State University - Department of Finance & Real Estate and University of Texas at Austin
Downloads 67 (339,909)

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Extreme Downside Risk, Multifactor Real Options; Implied Binomial Trees; Simulation

5.

Examination on the Flow Characteristic of Crude Oil: Evidence from the Risk-Neutral Moments

Energy Economics, Vol. 54, 2016
Number of pages: 38 Posted: 14 Feb 2015 Last Revised: 10 Feb 2018
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Downloads 66 (342,556)
Citation 1

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Risk-Neutral Moments, Crude Oil Futures, Returns, Volatility

6.

Default Prediction Models: The Role of Forward-Looking Measures of Returns and Volatility

Journal of Empirical Finance, Vol. 46, 2018
Number of pages: 39 Posted: 30 May 2017 Last Revised: 11 Feb 2018
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Downloads 65 (345,282)

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Default Prediction, Distance to Default, Implied Cost of Capital, Implied Volatility

7.

Sensitivity Analysis of Model Input Dependencies Using Copulas

Number of pages: 34 Posted: 21 Oct 2015 Last Revised: 22 Jan 2016
Tianyang Wang, James Dyer and Warren Hahn
Colorado State University - Department of Finance & Real Estate, University of Texas at Austin and University of Texas at Austin - Red McCombs School of Business
Downloads 53 (381,556)

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Decision Analysis, Sensitivity Analysis, Correlations, Dependence, Copulas

8.

Reference Point Formation - Does the Market Whisper in the Background?

Number of pages: 33 Posted: 31 Aug 2017
Colorado State University - Department of Finance & Real Estate, University of Texas at Arlington - Department of Finance and Real Estate and Colorado State University, Fort Collins - College of Business
Downloads 50 (391,532)

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behavioral finance; reference-point formation; reference-dependent preferences

9.

Robust Multi-Period Portfolio Model Based on Prospect Theory and ALMV-PSO Algorithm

Number of pages: 35 Posted: 20 Apr 2015
Jiahe Liu, Xiu Jin, Tianyang Wang and Ying Yuan
Northeastern University, China - School of Business Administration, Northeastern University, China - School of Business Administration, Colorado State University - Department of Finance & Real Estate and Northeastern University, China - School of Business Administration
Downloads 47 (401,785)

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Finance; Portfolio selection; Prospect theory; Robust optimization; Multi- period portfolio; Particle swarm optimization

10.

Dynamic Hedging Performance of the CSI 300 Index Futures - The Realized Minimum-Variance Hedge Ratio Approach

Number of pages: 35 Posted: 19 Mar 2018
Hui Qu, Tianyang Wang, Yi Zhang and Pengfei Sun
Nanjing University, Colorado State University - Department of Finance & Real Estate, Nanjing University and Nanjing University
Downloads 44 (412,637)

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Realized Minimum-Variance Hedge Ratio; Dynamic Hedging Performance, High-Frequency Data; Hedging Effectiveness; Volatility Regime

Life Insurer Cost of Equity with Asymmetric Risk Factors

Number of pages: 37 Posted: 24 Jun 2014
Colorado State University, Fort Collins, University of Texas at Arlington - Department of Finance and Real Estate and Colorado State University - Department of Finance & Real Estate
Downloads 41 (432,741)

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Cost of equity; Upside risk; Downside risk; Equity market; Life insurance industry

Life Insurer Cost of Equity with Asymmetric Risk Factors

Financial Review, Vol. 50, Issue 3, pp. 435-457, 2015
Number of pages: 23 Posted: 17 Jul 2015
Colorado State University, Fort Collins, University of Texas at Arlington - Department of Finance and Real Estate and Colorado State University - Department of Finance & Real Estate
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cost of equity, upside risk, downside risk, equity market, life insurance industry, prospect theory

Life Insurer Cost of Equity with Asymmetric Risk Factors

V. Bajtelsmit; S. Villupuram, and T. Wang, 2015. “Life Insurer Cost of Equity with Asymmetric Risk Factors”, The Financial Review
Posted: 20 Apr 2015
Colorado State University, Fort Collins, University of Texas at Arlington - Department of Finance and Real Estate and Colorado State University - Department of Finance & Real Estate

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Cost of equity; Upside risk; Downside risk; Equity market; Life insurance industry, Prospect theory.

12.

Modeling Correlated Discrete Uncertainties in Event Trees with Copulas

Number of pages: 33 Posted: 18 Apr 2015
Tianyang Wang, James Dyer and John Sibley Butler
Colorado State University - Department of Finance & Real Estate, University of Texas at Austin and University of Texas at Austin - Red McCombs School of Business
Downloads 31 (466,403)

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Probabilistic risk analysis, decision analysis, event trees, discrete uncertainties, dependence, copulas

13.

The Forecasting Efficacy of Risk-Neutral Moments for Crude Oil Volatility

Chatrath, A., Miao, H., Ramchander, S., & Wang, T. (2015). The Forecasting Efficacy of Risk‐Neutral Moments for Crude Oil Volatility. Journal of Forecasting, 34(3), 177-190.
Posted: 20 Apr 2015
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate

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risk-neutral moments; crude oil futures options; implied volatility

14.

The Response of Bond Prices to Insurer Ratings Changes

Miao, H., Ramchander, S., & Wang, T. (2014). The Response of Bond Prices to Insurer Ratings Changes. The Geneva Papers on Risk and Insurance-Issues and Practice, 39(2), 389-413.
Posted: 20 Apr 2015 Last Revised: 20 Oct 2015
Hong Miao, Sanjay Ramchander and Tianyang Wang
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate

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insurer ratings changes; ratings agency; bond price impact; event study

15.

Valuing Multifactor Real Options Using an Implied Binomial Tree

Wang, T., & Dyer, J. S. (2010). Valuing multifactor real options using an implied binomial tree. Decision Analysis, 7(2), 185-195.
Posted: 20 Apr 2015
Tianyang Wang and James Dyer
Colorado State University - Department of Finance & Real Estate and University of Texas at Austin

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real options; implied binomial tree; multifactor; simulation

16.

A Copulas-Based Approach to Modeling Dependence in Decision Trees

Tianyang, W., & Dyer, J. S. (2012). A Copulas-Based Approach to Modeling Dependence in Decision Trees. Operations research, (1), 225-242.
Posted: 20 Apr 2015
Tianyang Wang and James Dyer
Colorado State University - Department of Finance & Real Estate and University of Texas at Austin

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correlation; copulas; multivariate decision and risk analysis