Peng-Chu Chen, Ph.D.

Assistant Professor  

Department of Industrial and Manufacturing Systems Engineering (IMSE)
The University of Hong Kong

Office: Rm 8-1, Haking Wong Building
TEL: +852-3917-7055
Email: pcchen at hku dot hk

 

Education

Purdue University. Ph.D. in Industrial Engineering, August 2016.

University of California, Berkeley. MSc in Transportation Engineering, May 2003.

National Taiwan University. BSc in Civil Engineering, June 2001

 

Research Interests

My research interests are in the area of financial engineering and networks, with a special focus on systemic risk, contagion, and control. In the context of financial networks, my research contributes to the understanding of the financial contagion mechanisms, the impact of network topology on systemic losses, and the impact of prescriptive policies for systemic risk. 

 

Publications

Disruption and Rerouting in Supply Chain Networks. (with J. Birge and A. Capponi). Preprint. 

Credit Portfolio Selection with Decaying Contagion Intensities. (with L. Bo and A. Capponi). Mathematical Finance, Vol. 29, No. 1, 137-173, 2019. 

Liability Concentration and Systemic Losses in Financial Networks. (with A. Capponi and D.D. Yao). Operations Research, Vol. 64, No. 5, 1121-1134, 2016. 

Systemic Risk Mitigation in Financial Networks. (with A. Capponi). Journal of Economic Dynamics and Control, Vol. 58, No. 15, pp. 152-166, 2015.