Tengdong Liu
Contact
Department of Economics &
Phone: (267) 949-7005
Information
International Business
E-mail: tl342@drexel.edu
LeBow College of Business
Drexel University
3600 Market Street, 7th Floor
Philadelphia, PA 19104
Webpage:
http://www.pages.drexel.edu/~tl342
Education
Ph.D. Economics, Drexel University, Philadelphia, PA, expected June
2012
M.B.A. Brock University, St. Catharines, Ontario, Canada, June 2007
B.S. Industrial Foreign Trade, Chongqing University, China, June 1998
Publication
“Relationship between Financial Sector’s CDS Spreads and Other
Gauges of Risk: Did the Great Recession Change Them?”
with Shawhat Hammoudeh, Ramaprasad Bhar (Accepted by the
Financial Review)
“The dynamics of BRICS’s Country Risk Ratings and Domestic Stock
Markets, U.S. Stock Market and Oil Price”
with Shawhat Hammoudeh, Ramazan Sari, Mehmet Uzenkaya
Accepted by Mathematics and Computers in Simulation. Available
online at
http://www.sciencedirect.com/science/article/pii/S0378475412000122
Dissertation
Essays on Credit and Market Risk Measures in a Regime-Changing
Environment
Committee:
Professor. Hammoudeh Shawkat (Chair)
Professor. Bijou Yang Lester, Professor. Konstantinos Serfes,
Professor. McCain Roger, Professor. Mehmet Balcilar,
Professor. Paulo Araujo-Santos
Thesis Abstract
Essay1: “Interrelationships among Financial Risks and with
Economic Activity and Oil in a Regime-Changing Environment”
This paper investigates directional relationship, regime variances,
expected durations and correlations for two systems: the Daily system
which includes credit and market risks, the Monthly system that
encompasses credit and market risks and economic activity variables
represented by Industrial Production. The methodology is based on
Markov-Switching VAR. The result suggests i) the correlation between
volatility in financial markets has strong regime effect; ii) there exists a
significant one-way risk spill over from stock market to bond market in
high volatility regime; iii) the stabilizing monetary policy has
effectively reduced the volatility of bond market and oil price but has
insignificant effect on stock market.
Essay 2: “Downside Risk Management and Optimal Portfolios for
the Equity Markets within Two Groups of European Countries: Does
the Sovereign Debt Matter?”
This study examines the Value-at-Risk for ten eurozone equity markets
divided into two groups: PIIGS and the Core, employing four VaR
estimation methods. The results are evaluated according to four
statistical properties as well as Basel capital requirements. The
estimation and the evaluation are applied to the individual assets as
well as to the portfolios of the two groups. The results demonstrate the
Conditional-Extreme-Value-Theory (CEVT) method meets all the
statistical criteria best for individual assets. The two equity portfolios
do not show diversification benefits. The augmented portfolio that
includes the Austrian (ATX) index, oil and gold gives the highest
diversification gains. Adding other commodities such as corn and
silver, or commodities indices to the optimal portfolio does not
enhance the gains. For the optimal portfolios, the Duration-Peak-Overthe-Threshold (DPOT) is recommended in terms of satisfying the
Basel rules.
Essay 3: “Asymmetric Adjustments of the Responses of Stock
Markets to Disaggregated Country Risk Ratings: Evidence from
BRICS countries”
Other research
“Links between Measures of Risk in Oil-related CDS, Stock and
project
Credit Markets”
with Shawkat Hammoudeh, Chia-Lin Chang, Michael McAleer (first
round review)
Academic
experience
Instructor:
Principle of Microeconomics ECON-201 FA09
Principle of Microeconomics ECON-201 FA10
Principle of Macroeconomics ECON-202 FA11
Teaching Assistant:
International Business Management INTB-620 WI12 (Master level)for
Prof. Bijou Lester
International Business 2011 for Professor. Bijou Lester
Managerial Economics 2010 for Professor. Shawkat Hammoudeh
Principle of Microeconomics 2009 Professor. Shawhat Hammoudeh
Managerial Economics (Master level)
2009 for Professor. Teresa Harrison
Econometrics 2009, (Ph.D. Level), for Prof. Teresa Harrison
Research Assistant:
for Professor. Shawhat Hammoudeh, Professor Lester, Bijou Yang,
Professor. Mark Stekr)
Professional
Golden Age Marketing Company, Toronto, Ontario, Canada
Experience
Market Analyst
Jan 2007 – July 2007
Agricultural Bank of China, Chongqing, China
Investment Consultant
June 1998- July 2001
Computer
R, STATA, Matlab, Eviews, OxMetrics, MS Office (Word, Excel),
Skills
LaTex,
Languages
Chinese (native), English (fluent)
Professional:
Member of American Economic Association
Member of Global Association of Risk Professionals
References:
Dr. Hammoudeh, Shawkat E-mail: hammousm@drexel.edu
Dr. Lester, Bijou Yang
E-mail: lesterby@drexel.edu
Dr. Roger McCain,
E-mail: mccainra@drexel.edu
Dr. Konstantinos Serfes
E-mail: ks346@drexel.edu