Abstract

Modern finance is an amazing construct, trillions of assets change hands everyday as the markets try to discover the “right” price for assets, typically in equity, interest rates, currencies, credit spreads, and commodity. In this talk, we go through a practical depiction of how current financial system implements the invisible hand hypothesis and discuss a few theoretical applications in credit risk management.

Bio: Dr Eric Yu-En Lu works on credit for a leading hedge fund. He started in finance in the chief investment office, JPMorgan Chase Bank where he was a portfolio manager focusing on emerging markets. He holds a PhD degree from University of Cambridge and, during his postdoc funded by US-UK international technology alliance, worked on statistical analyses on large datasets across biology, social networks, and wireless networks. Still an academic at heart, he likes higher dimensional statistical models with applications in econometrics, portfolio theory, and complex biological pathways. Perhaps more interestingly, he has a few ideas on why models work until they do not, typically when it absolutely matters.