Commercial Credit Risk Analysis Division
Denghui Chen is a Financial Economist in the Commercial Credit Risk Analysis Division within the Economics department at the Office of the Comptroller of the Currency (OCC). He provides quantitative modeling support for Dodd-Frank Act stress-testing (DFAST). His practice in risk modeling and management is primarily focused on stress testing and valuation issues.
Dr. Chen joined the OCC in 2017. His research interests include risk modeling, asset pricing, securitization, and market microstructure.
Dr. Chen earned his Ph.D. in Finance from West Virginia University. He also holds a master's degree in economics from Fordham University.
- Working Papers
- Chen, D. (2018). Risk Aversion Decomposition and the Impact of Monetary Policy Surprises on Aggregate Tail Risk Aversion, Journal of Risk Finance, 19 (2018), 564-590.
- Denghui Chen and Chen Gu (2020). “Does Investor Attention Foretell Stock Trading Activities? Evidence from Twitter Attention” (Semifinalist, 2018 FMA Best Paper in Investments).
Denghui Chen, Chen Gu, and Raluca Stan (2019). “It is not just What you say, but How you say it: Why Tonality Matters in Central Bank Communication”