Wenchao Liao

Shih Chien University (Taiwan), Dept. of Finance and Banking

Assistant Professor

No.70 Da-Zhi Street, Chung-Shan District

Taipei, 10462

Taiwan

http://sites.google.com/site/wenreseach/

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 12,743

SSRN RANKINGS

Top 12,743

in Total Papers Downloads

7,840

TOTAL CITATIONS

3

Scholarly Papers (8)

1.

R - Quick Guide for Implementing VaR (Value-at-Risk) and CTE (Conditional Tail Expectation)

Number of pages: 11 Posted: 26 Dec 2008 Last Revised: 18 May 2009
Wenchao Liao
Shih Chien University (Taiwan), Dept. of Finance and Banking
Downloads 3,111 (8,400)

Abstract:

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value at risk, conditional tail expectation, expected shortfall, VaR, Tail VaR, CTE, R statistical language

2.

Single-Name Credit Default Swap (CDS) Arbitrage Mechanisms

Number of pages: 60 Posted: 08 Nov 2007 Last Revised: 26 May 2008
Wenchao Liao
Shih Chien University (Taiwan), Dept. of Finance and Banking
Downloads 2,238 (14,163)

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Credit Derivatives, Credit Default Swap, CDS, Arbitrage, Basis Arbitrage, Trading, Fixed Income, Collateralized Debt Obligations, CDO, Structured Finance, Debt Market, Capital Market, Financial Engineering, Structuring, Cross Asset, Credit Risk

3.

Presentation Slides for 'Single-Name Credit Default Swap (CDS) Arbitrage Mechanisms'

Number of pages: 36 Posted: 16 Apr 2009
Wenchao Liao
Shih Chien University (Taiwan), Dept. of Finance and Banking
Downloads 667 (81,919)

Abstract:

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Credit Derivatives, Credit Default Swap, CDS, Arbitrage, Basis Arbitrage, Trading, Fixed Income, Collateralized Debt Obligations, CDO, Structured Finance, Debt Market, Capital Market, Financial Engineering, Structuring, Cross Asset, Credit Risk

4.

Speculators versus Hedgers: Evidence from Treasury Futures VAR Analysis of the Volume-Volatility Relations

Number of pages: 65 Posted: 12 Feb 2008 Last Revised: 05 Dec 2011
Wenchao Liao
Shih Chien University (Taiwan), Dept. of Finance and Banking
Downloads 632 (87,763)
Citation 1

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volume-volatility relation, vector autoregression (VAR), GARCH volatility, Treasury futures trading, hedging, speculation, market microstructure

5.

Trading Activity in the Treasury Futures Market and Its Role in Futures Price Fluctuations

Number of pages: 211 Posted: 08 Nov 2007 Last Revised: 02 Sep 2008
Wenchao Liao
Shih Chien University (Taiwan), Dept. of Finance and Banking
Downloads 426 (142,439)

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Treasury Futures, Trading, Market Microstructure, Volume-Volatility Relation, Volatility, Volume, Open Interest, VAR, Vector Autoregression, GARCH, Market Squeeze, Strategic Trading, Difference of Opinions, Capital Market, Debt Market, Hedging, Speculation

6.

Treasury Futures Trading and Differences of Opinion: A Note on Volume-Volatility Models

Number of pages: 33 Posted: 15 Feb 2008 Last Revised: 31 Aug 2010
Wenchao Liao
Shih Chien University (Taiwan), Dept. of Finance and Banking
Downloads 318 (196,725)

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volume-volatility relation, Treasury futures trading, strategic trading model, differences of opinion model, market microstructure

7.

Monte Carlo Simulations on 'Variance of the CTE Estimator (Manistre and Hancock, 2005)': An Implementation in R

Manistre and Hancock's: North American Actuarial Journal, Vol. 9, No. 2, pp.129-156, 2005
Number of pages: 38 Posted: 03 Aug 2010 Last Revised: 05 Oct 2010
Wenchao Liao
Shih Chien University (Taiwan), Dept. of Finance and Banking
Downloads 291 (216,249)
Citation 1

Abstract:

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CTE, VaR, TVaR, Monte Carlo simulation, R statiscal language, conditional tail expectation, Value at Risk, Tail Value at Risk, importance sampling, stratification, variance reduction

8.

Presentation Slides for 'Trading Treasury Futures: A Vector Autoregressive (VAR) Analysis on the Volume-Volatility Relation'

Number of pages: 40 Posted: 27 Mar 2008
Wenchao Liao
Shih Chien University (Taiwan), Dept. of Finance and Banking
Downloads 157 (387,381)
Citation 1

Abstract:

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volume-volatility relation, vector autoregression (VAR), GARCH volatility, Treasury futures trading, hedging, speculation, market microstructure