Dr. Feng Li

Author: Feng Li

  • R package: dng – distributions and gradients

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    Feng Li
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    An R package dng is now on CRAN. https://cran.r-project.org/web/packages/dng/index.html At the moment, this package includes the distribution function and random generating process for  the “split-t” density and gradient base on my previous paper “Flexible Modeling of Conditional Distributions using Smooth Mixtures of Asymmetric Student T Densities”, Journal of Statistical Planning and Inference. We plan to…

  • Paper: Credit Risk Clustering with Covariate-dependent Copula Models

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    Feng Li
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    with Zhuojing He from Business School, Central University of Finance and Economics. Abstract Understanding how corporate defaults cluster is particularly important for risk management of portfolios of corporate debt. In this paper, we discuss the dynamic nature of the clustering of credit risk across firms pairwise in the same family corporation in China. We insert…

  • To my students: on writing mail

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    Feng Li
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    Modified from http://www.phdcomics.com/comics/archive.php?comicid=1795