Heng Z. Chen
Heng received his MS degree from University of California at Davis in 1988 and PhD degree from the Ohio State University in 1993, majored in econometrics and environmental economics
After receiving his PhD, Heng began his professional career in 1993 as a faculty at Michigan State University for four years. His research was focused on the discrete choice econometric modeling with applications to environmental and natural resources valuation. Over the past six years, Heng has been teaching Predictive Models for Credit Risk Management to graduate students at Northwestern University. He is interested in the improvement of various econometric modelling techniques and their applications in the financial services industry. Heng is a contributing author to an academic graduate textbook, and published papers in several peer reviewed journals including Journal of Econometrics and American Journal of Agricultural Economics.
Financial Services Industry Experience
Heng has been working in the financial services industry over the past 20 years, including American Express, Discover Financial Services, GE Capital, and Hong Kong Shanghai Banking Corporation. He gained a good understanding of the business challenges and developed valuable insights into the potential applications of econometric modeling in the areas of PD, LGD, EAD, Loss Forecasting, and Economic Capital for credit and operational risk management for both consumer and commercial lending businesses.
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In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring.