Quaecumque VeraDepartment of Mathematical and Statistical Sciences

Cho-Jieh Chen

PhD, ASA, FRM, Assistant Professor

Chair, Actuarial Committee

Office: CAB 483
Phone: (780) 492-8218

Fax: (780) 492-6826



• Ph.D. in Actuarial Science, 1997 ~ 2002

Supervisor: H. H. Panjer

• Master of Science in Actuarial Science, 1994 ~ 1995

Supervisor: E. S. Shiu

• Bachelor of Science in Applied Mathematics, 1986 ~ 1990

National Chiao-Tung University , Hsinchu , Taiwan

Professional Designations

• Financial Risk Manager , Global Association of Risk Professionals, 2006

• Associate Actuary , Society of Actuaries, 1995

Research Areas

• I am interested in actuarial science, ruin theory, credit risk, stock price, and enterprise risk management.

• Major research results: I unify the two major credit risk models, the structural model and the reduced-form model. For the continuous default model, I unify the structural model and the intensity model through the forward default intensity in Chen (2006). For the discrete default model, I unify the structural model and the reduced-form model in Chen and Panjer (2003). I obtain the forward credit spread, that converge to Duffie and Singleton (1999), in Chen (2002). I apply ruin theory to credit risk using a jump-diffusion process in Chen and Panjer (2004). I relax the independency assumption for the credit spread in Chen (2005).

Selected Research Papers

• Chen, C.J. (2007) “The credit spread decomposition under uncertain information”

• Chen, C.J. (2006) “The instantaneous and forward default intensity of structural models”, The 14th Conference on Pacific Basin Finance, Economics, Accounting, and Business

• Chen, C.J. (2005) “Credit spreads of risky bonds”

• Chen, C.J. & Panjer, H.H. (2004) “A bridge from ruin theory to credit risk”, Institute of Insurance and Pension Research Report , 03-04

• Chen, C.J. & Panjer, H.H. (2003) “Unifying discrete structural models and reduced-form models in credit risk”, Insurance: Mathematics and Economics , 33, p357-p380

• Chen, C.J. (2002) “Credit risk modeling: Unifying structural credit risk models and reduced-form models” (Ph.D. thesis), University of Waterloo


Department of Mathematical and Statistical Sciences
University of Alberta
632 Central Academic Building
Edmonton, AB T6G 2G1
Phone: 780.492.8218
Fax: 780.492.6826
Last modified June 30, 2007