Institute of Technical & Quantitative Economics Associate Professor
电子邮箱：ypsu@tju.edu.cn
研究方向：Financial Engineering and Management; Econometric Methods and Applications.
| Time | University Specialty | Degree/ Position |
| Education Background | ||
| 2007-2010 | Tianjin University,Technical Economics and Management | Ph.D |
| 2005-2007 | Tianjin University,Statistics | Master |
| 2001-2005 | Nankai University,Statistics | Bachelor |
| Working Experience | ||
| July, 2017-Now | College of Management and Economics, Tianjin University | Associate Professor |
| March, 2016- March, 2017 | Odette School of Business, University of Windsor | Visiting Scholar |
| July, 2011- June, 2017 | College of Management and Economics, Tianjin University | Assistant Professor |
[1] Fangzhao Zhou, Zenan Zhang, Jun Yang, Yunpeng Su*, Yunbi An. Delisting pressure, executive compensation, and corporate fraud: Evidence from China. Pacific-Basin Finance Journal, 2018, 48(1): 17-34.
[2] Baochen Yang, Chuanze Liu, Zehao Gou, Jiacheng Man, Yunpeng Su*. How Will Policies of China’s CO2 ETS Affect its Carbon Price: Evidence from Chinese Pilot Regions. Sustainability, 2018, 10(3): 605.
[3] Mengya Zhang, Yong Liu, Yunpeng Su*. Comparison of carbon emission trading schemes in the European Union and China. Climate, 5(3), 2017, 70-86.
[4] Baochen Yang, Chuanze Liu*, Yunpeng Su, Xin Jing. The allocation of carbon intensity reduction target by 2020 among industrial sectors in China. Sustainability, 9(1), 2017, 148-166.
[5] Yunpeng Su*, Baochen Yang. An empirical study on volatility structure of the defaultable bond market under defaultable HJM framework with stochastic volatility. Journal of Management Science, 2015, 28(1): 122-132. (in Chinese)
[6] Yunpeng Su*, Wei Zhang, et al. Quality and Volume of Information implied in Corporate Performance Evaluation Systems: Cases of Forbes and Peiyang-GlocalWin. Statistics & Information Forum, 2014, 29(9): 27-33. (in Chinese)
[7] Yunpeng Su*, Baochen Yang, Donglian Li. Empirical Research on Extended Nelson-Siegel Model Based on Genetic Algorithm. Statistics & Information Forum, 2011, 26(1): 15-19. (in Chinese)
[8] Baochen Yang, Yunpeng Su*. Regime switching in risk premium dynamics of SHIBOR. Journal of Systems Engineering, 2012, 27(2): 201-207. (in Chinese)
[9] Baochen Yang, Yunpeng Su*. Generalized Heath-Jarrow-Morton Model with Stochastic Volatility and Correlated Factors. Journal of Management Sciences in China, 2011, 14(9): 77-85. (in Chinese)
[10] Baochen Yang, Yunpeng Su*. Model calibration of HJM models based on UKF with application. Journal of Management Sciences in China, 2010, 13(4): 67-75. (in Chinese)
[11] Baochen Yang, Yunpeng Su*, Lingzhen Li. Estimations of Term Structure of Interest Rate Model Based on EKF and UKF Approaches. Journal of Systems & Management, 2009, 18(3): 344-349. (in Chinese)
[12] Baochen Yang, Shan Liao*, Yunpeng Su. Risk Management of Bond Portfolio based on Forecast of Term Structure of Interest Rates. Journal of Financial Research, 2012, (10): 86-96. (in Chinese)
[13] Jingjing Li*, Baochen Yang, Yunpeng Su. Interest Rate Risk Measure model under the Multi-Factor HJM Framework. Systems Engineering—Theory & Practice, 2014, 34(11): 2783-2790. (in Chinese)
[14] Xiujuan Pan, Baochen Yang, Yunpeng Su. Empirical Comparison of the Dynamic Interest Rate Term Structure Models in China's Interbank Bond Market. Systems Engineering, 2014, 32(10): 30-37. (in Chinese)
[15] Baochen Yang, Jingjing Li*, Yunpeng Su. Stochastic Duration-Matching Immunization: A Nonparametric Method. Systems Engineering, 2013, 31(1): 37-43. (in Chinese)
[16] Baochen Yang, Shan Liao*, Yunpeng Su. Improvement in Hedging of Curvature Change and Interest Rate Risk. Systems Engineering, 2011, 29(12): 13-18. (in Chinese)
[17] Baochen Yang, Yunpeng Su*. An Empirical Research on the Term Structure of SHIBOR. Journal of UESTC (Social Sciences Edition), 2010, 12(5): 39-45. (in Chinese)
[18] Yugui Zhang, Yunpeng Su, Baochen Yang. An Empirical Analysis on Term Structure of SHIBOR Using Vasicek and CIR Models. Statistics & Information Forum, 2009, 24(6): 44-48. (in Chinese)
[19] Baochen Yang, Yunpeng Su. An Empirical Study on the Interaction Mechanism Among Asset Prices，Inflation and Monetary Policy. Journal of Northwest A&F University (Social Science Edition), 2010, 10(3): 51-55. (in Chinese)
[20] Yunpeng Su, Baochen Yang, et al. Economic Growth, Output Gap and Reasonable Range of Price Level. Journal of Lanzhou Commercial College, 2013, 29(5): 51-55. (in Chinese)
[21] Baochen Yang, Xinting Li, Yunpeng Su*. Correlationship between Credit Risk and Liquidity Risk in Corporate Bond Market. The 25th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, National University of Singapore, Singapore, 2017.
[22] Baochen Yang, ZiJian Wu, Yunpeng Su*. Liquidity Effects and its Determinants in China's Corporate Bond Market. The 25th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, National University of Singapore, Singapore, 2017.
[23] Yunpeng Su*, Baochen Yang. Regime Switching in Dynamics of Risk Premium: Evidence from SHIBOR. The 20th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, Rutgers University, USA, 2012.
[24] Baochen Yang, Yunpeng Su*. An Empirical Comparison of Interest Rate Model Estimation Methods Based on EKF and UKF. The 16th Annual Global Finance Conference, Honolulu, USA, 2009.
[1] Unspanned Risks in China's Bond Market: Measurement, Pricing, Functional Mechanism and Portfolio Management, Supported by National Natural Science Foundation of China, 2016-2018. Principal Investigator.
[2] Bounded Rational Expectations and Equity-Risk Factor in Bond Pricing: A Study under Macro-Finance Framework, Supported by MOE (Ministry of Education in China) The Research Fund for the Doctoral Program of Higher Education, 2014-2016. Principal Investigator.
[3] Research on Interactive Mechanism between Term Structure of Defaultable Interest Rates and Macroeconomic Variables under New-Keynesian Macro-Finance model, Supported by MOE (Ministry of Education in China) Project of Humanities and Social Sciences, 2012-2014. Principal Investigator.
[4] Credit Bond Pricing and Portfolio Optimization under Imperfect Market Condition, Supported by National Natural Science Foundation of China, 2015-2018. Associate Investigator.
[5] Pricing and Hedging of Defaultable Bonds under Heath-Jarrow-Morton Framework with Stochastic Volatility, Supported by National Natural Science Foundation of China, 2012-2015. Associate Investigator.
[6] Research on pricing of the fixed income securities and interest rate derivatives under HJM framework, Supported by National Natural Science Foundation of China, 2008-2010. Associate Investigator.
[7] Research on pricing and hedging of the fixed income securities and interest rate derivatives, Supported by National Natural Science Foundation of China, 2005-2007. Associate Investigator.
[8] Research on price fluctuation, transmission mechanism and price policy, Supported by National Natural Science Foundation of China, 2008-2009. Associate Investigator.
[9] Research on dynamic pricing methods of the interest rate risk with application, Supported by Doctoral Fund of Ministry of Education of China, 2009-2011. Associate Investigator.
[10] Sustainable Economic Development of Forestry Resource-based Cities: Research on Ways and Key Technologies for Economic Transition of Yichun, Supported by Science and Technology Project of Heilongjiang Province, 2011-2012. Associate Investigator.
Ad hoc reviewer for
Journal of Management Sciences in China
National Natural Science Foundation of China
