Haohan Huang
Haohan Huang is currently a senior analyst in Enterprise Model Risk Management, Group Risk Management-Market and Trading of Royal Bank of Canada. He has worked on quantitative analysis of counterparty risk, liquidity risk, interest rates, FX, credit and equity-derivatives, risk management and structured products and collateral modeling. His research interest includes credit and liquidity risks, stochastic process and PDE application in finance. Haohan also holds a PhD and MA in Applied Mathematics and Financial Engineering diploma in York University, Toronto.
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Articles by Haohan Huang
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.