Wai Keung Li
Wai Keung Li is currently Research Chair Professor of Data Science and Dean of the Faculty of Liberal Arts and Social Sciences at the Education University of Hong Kong. He was a Chair Professor of Statistics at the Department of Statistics and Actuarial Science, University of Hong Kong before taking up the current position. He is an Elected Fellow of the American Statistical Association and the Institute of Mathematical Statistics.
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This research develops a framework adopting conditional covariance modeling combined with various de-noising methods to estimate the portfolio VaR and proves the importance of DCC over the sample rolling method widely used in the industry.