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Dr. Yonggan Zhao is a Professor of Finance at the Rowe School of Business at Â鶹´«Ã½. His research interests focus on the application of financial models driven by macroeconomic indicators. Besides developing theoretical investment models with practical risk control using statistical terms, such as Value at Risk, Expected Shortfall, Capital Allocation Control, etc., he is particularly interested in derivatives pricing models and their application.

Dr. Zhao’s research is interdisciplinary and practical. His work has been published in leading journals in the fields of finance, economics, mathematics and management science. His research concerns the general area of risk analysis of complex investment returns and derivatives pricing with a focus on the improvement of estimation of risk and design of investment strategies. Several of his research papers focus on the development of econometric models for characterizing asset returns under various sources of risk, e.g. systematic risk, operational risk, credit risk. His research in the areas of options pricing and portfolio investment involves application of Markov processes to characterizing asset risk and return profile. For various risk measures respective investment models are tested to obtain sound investment strategies. This approach has proved useful for identifying economic strength and therefore for making practical investment decisions.