Dr. WU Qi (吳琦 博士)

Previous Experience

• 2013 - 2018, The Chinese University of Hong Kong, Department of System Engineering and Engineering Management, Assistant Professor, Hong Kong. -- Research areas: Financial Engineering, Applied Probability, Operations Research .
• 2012 - 2013, The Depository Trust & Clearing Corp., Division of Financial Engineering, Senior Quantitative Analyst, New York. -- Team Lead of Interest Rate Analytics and Stress Testing Methodology. -- Developing Quant Analytics for USD Cash and Derivative Securities .
• 2010 - 2012, UBS Investment Bank, Fixed Income Division, USD Non-Linear Rates and Structured Rates Desk, Associate Director, Stamford CT. -- Pricing and Risk Managing of Interest Rate Exotic Products. -- Developing Asia (ex-Japan) USD Structure Notes Trading Business.
• 2008, Lehman Brothers, Fixed Income Division, Quantitative Credit Research Group, Quantitative Associate, London. -- Developing Production Pricing Models for Single-name Credit Derivatives. -- Prototyping Portfolio-level Hedging of FX Exposure in the Credit Derivative Book.

Research Grants

• HKRGC - GRF, “Generative Models of Multivariate Dependence for Asset Retu, Amount: HKD $952,494, 2021 - 2023, Qi WU (sole-PI).
• HKRGC - GRF, "Risk-Potential Framework for Dynamic Portfolio Selection", Amount: HKD $869,898, 2020 - 2022, Qi WU (PI), Xiao QIAO (Co-I).
• CityU New Research Initiatives/Infrastructure Grant, “Interpretable Machine Learning Methods for Financial Risk M, Amount: HKD $1,066,560, 2019 - 2021, Qi WU (sole-PI).
• JD Finance Strategic Collaboration & Contract Research, “Fundamental Research of Financial Technology and its Strate, Amount: HKD $10,182,590, 2019 - 2023, Qi WU (sole-PI).
• HKRGC - GRF, "Studies on Margin Procyclicality - the Impact of Volatility, Amount: HKD $582,000, 2018 - 2020, Qi WU (sole-PI).
• HKRGC - GRF, "Asymptotic Analysis of Portfolio Tail Risk and the Diversif, Amount: HKD $482,605, 2017 - 2019, Qi WU (sole-PI), Heng SUN (Co-I), Bank of New York Mellon.
• HKRGC - Early Career Scheme, "Low-dimensional Modeling of Collateralized Term Structure w, Amount: HKD $656,737, 2015 - 2018, Qi WU (sole-PI).
• CUHK Faculty of Engineering Direct Research & Startup Grant, “Interest Rate Derivative Modeling in the Post-Crisis Era”, Amount: HKD $300,000, 2013 - 2015, Qi WU (sole-PI).

External Services

Service in CityU

Papers

• Robust Causal Learning for the Estimation of Average Treatment Effects (IJCNN 2022, Accepted, Oral)
  
  • Yiyan HUANG, C.H. LEUNG, X. YAN, Qi WU (Corresponding), S.M. MA, Z.R. YUAN, D.D. WANG, Z.X. Huang
• Risk and Return Prediction for Pricing Portfolios of Non-performing Consumer Credit (ICAIF 2021)
  • Siyi Wang, X. Yan, B. Zheng, H. Wang, W.L. Xu, N.B. Peng, Qi Wu (Corresponding)
• Higher-Order Orthogonal Causal Learning for Estimation of Treatment Effects (2021, submitted)
  • Yiyan HUANG, C.H. LEUNG, Xing YAN, Qi WU (Corresponding), S.M. MA, Z.R. YUAN, N.B. PENG, D.D WANG, Z.X. Huang
• Transfer Learning of Dependence Shifts via Copula Regularization (2021, submitted)
  • Shumin MA, Z.R. YUAN, Qi WU (Corresponding), Y.Y. HUANG, X.X. HU, C.H. LEUNG, N.B. PENG, H. WANG, B.Q. Zheng
• Generative Dependence Learning via Maximum Mean Discrepancy (2021, submitted)
  • Xiangqian SUN, X. YAN, Qi WU (Corresponding), N.B. PENG, H. WANG
• Tail Risk Monotonicity under Temporal Aggregation in GARCH(1,1) Models (2021)
  
  • Submitted. [pdf, link]
  • Paul Glasserman, Dan Pirjol, and Qi WU
• The Causal Learning of Retail Delinquency (2020)
  
  • Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI 2021). (pdf)
  • Yiyan Huang, C.H. Leung, X. Yan, Qi WU (Corresponding), N.B. Peng, D.D. Wang, and Z.X. Huang
• Memory-Gated Recurrent Networks (2020)
  
  • Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI 2021). (pdf)
  • Yaquan Zhang, Qi Wu (Corresponding), N.B. Peng, M. Dai, J. Zhang, H. Wang
• Understanding Distributional Ambiguity via Non-Robust Chance Constraint (2020)
  
  • 2020 ACM International Conference on AI in Finance (ICAIF 2020). [pdf, link]
  • Shumin MA, C.H. LEUNG, Qi WU (Corresponding), W. LIU, and N.B. Peng
• Efficient Subsidies via Supply Re-usability (2019)
  
  • Submitted. [pdf, link].
  • Shumin MA and Qi WU
• Neural Learning of Online Consumer Credit Risk (2019)
  
  • Management Science (R&R). [pdf, link]
  • Di WANG, Qi WU (Corresponding), and Wen ZHANG
• Capturing Deep Tail Risk via Sequential Learning of Quantile Dynamics (2019)
  
  • Journal of Economic Dynamics & Control. [pdf, link]
  • Xing YAN and Qi WU (Corresponding)
• Cross-sectional Learning of Extremal Dependence among Financial Assets (2019)
  
  • Advances in Neural Information Processing Systems 32 (NeurIPS 2019). [pdf, link]
  • Xing YAN, Qi WU (Corresponding), and Wen ZHANG
• Persistence and Procyclicality in Margin Requirements (2018)
  
  • Management Science. Vol.64, No.12. 5705 - 5724. [pdf, link]
  • Paul Glasserman and Qi WU
• Parsimonious Quantile Regression of Asymmetrically Heavy-tailed Financial Return Series (2018)
  
  • Advances in Neural Information Processing Systems 31 (NeurIPS 2018). [pdf, link]
  • Xing YAN, Wen ZHANG, Lin Ma, Wei Liu, and Qi WU (Corresponding)
• Procyclicality in Sensitivity-Based Margin Requirements (2018)
  
  • Margin in Derivatives Trading. Risk Books. 293 - 309. [pdf, link]
  • Paul Glasserman and Qi WU
• Asymptotics of Portfolio Tail Risk Metrics for Elliptically Distributed Asset Returns (2016)
  
  • Working paper. (pdf, link)
  • Andrew Lesniewski, Heng SUN, and Qi WU
• A Dual-curve Short Rate Model with Multi-factor Stochastic Volatility: I. Asymptotic Analysis (2015)
  
  • Working paper. [pdf, link]
  • Andrew Lesniewski, Heng SUN, and Qi WU
• Series Expansion of the SABR Joint Density (2012)
  
  • Mathematical Finance. Vol.22, No.2. 310 - 345. [pdf, link]
  • Qi WU
• Forward and Future Implied Volatility (2011)
  
  • International Journal of Theoretical and Applied Finance. Vol.14, No.03. 407 - 432. [pdf, link]
  • Paul Glasserman and Qi WU (Corresponding)
• Symplectic Parareal (2008)
  
  • Domain Decomposition Methods in Science and Engineering XVII [pdf, link]
  • Guillaume Bal and Qi Wu