Peng-Chu Chen

The University of Hong Kong

Pokfulam Road

Hong Kong, Pokfulam HK

China

SCHOLARLY PAPERS

3

DOWNLOADS

798

SSRN CITATIONS
Rank 40,542

SSRN RANKINGS

Top 40,542

in Total Papers Citations

6

CROSSREF CITATIONS

7

Scholarly Papers (3)

1.

Liability Concentration and Systemic Losses in Financial Networks

Operations Research, Forthcoming
Number of pages: 33 Posted: 05 Jun 2016
Agostino Capponi, Peng-Chu Chen and David Yao
Columbia University, The University of Hong Kong and Columbia University
Downloads 339 (88,771)
Citation 4

Abstract:

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systemic risk, financial network, interbank liabilities, majorization

2.

Systemic Risk Mitigation in Financial Networks

Forthcoming in Journal of Economic Dynamics and Control
Number of pages: 38 Posted: 16 Jul 2013 Last Revised: 05 Jun 2016
Agostino Capponi and Peng-Chu Chen
Columbia University and The University of Hong Kong
Downloads 277 (110,654)
Citation 4

Abstract:

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Systemic risk, mitigation strategies, clearing payments, financial networks

Credit Portfolio Selection with Decaying Contagion Intensities

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 26 Sep 2015 Last Revised: 19 Oct 2017
Lijun Bo, Agostino Capponi and Peng-Chu Chen
University of Science and Technology of China (USTC), Columbia University and The University of Hong Kong
Downloads 182 (166,676)

Abstract:

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Fixed income investment, default decay, dynamic programming, parabolic PDEs