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Full-time Faculty

Faculty CV

Li An

PERSONAL  PROFILE

Zhan Shi is currently an Associate Professor at PBC School of Finance, Tsinghua University. Zhan received his Ph.D. in Finance from The Pennsylvania State University in 2014.  Before that, he earned his B.S. in Statistics from Fudan University in 2008. In addition, he also worked as a Visiting Assistant Professor of Finance in The Ohio State University.

His research interests include Fixed Income, Market Microstructure, Dynamic Corporate Finance, FinTech. His work on time-varying ambiguity has won 2104 WFA Cubist Systematic  Strategies Ph.D. Candidate Award.


ACADEMIC  APPOINTMENTS

Associate Professor of Finance (untenured),                                                                                      since 2021

Assistant Professor of Finance, PBC School of Finance, Tsinghua University, Beijing                 2016-2021

Visiting Assistant Professor of Finance, The Ohio State University, Columbus, OH                        2014-2016


EDUCATION

Ph.D. in Finance, The Pennsylvania State University, University Park, PA                                              2014    

B.S. in Statistics, Cum Laude, Fudan University, Shanghai, China                                                            2008     

 

RESEARCH  INTERESTS

Fixed Income, Market Microstructure, Dynamic Corporate Finance, FinTech

 

PUBLICATIONS

"Time-Varying Ambiguity, Credit Spreads, and the Levered Equity Premium", Journal of Financial Economics, 2019, 134 (3): 617-646.

"Specification Analysis of Structural Credit Risk Models" , with Jingzhi Huang and Hao Zhou, Review of Finance, 2020, 24 (12): 45-98.

"What do we know about corporate bond returns?", with Jingzhi Huang, Annual Review of Financial Economics2021, 13 (1): 363-399.

"Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance", with Jingzhi Huang, Management Science, forthcoming.    

"Determinants of Short-Term Corporate Yield Spreads — Evidence from the Commercial Paper Market", with Jingzhi Huang and Bibo Liu, Review of Finance, forthcoming. 



WORKING  PAPERS      

"The Global Credit Spread Puzzle", with Jingzhi Huang and Yoshio Nozawa, R&R

"Low-Dimensional Macro-Finance Term Structure Models" , with Jingzhi Huang

"Understanding Term Premia on Real Bonds" , with Jingzhi Huang

"Can structural model of credit risk hedge interest rate risk in corporate bonds?", with Jingzhi Huang, R&R

"Real Effects of Debt Markets: Corporate Bond Illiquidity and Risk-Taking", with Jingzhi Huang, Yuan Wang and Rui Zhong

“Corporate Basis and the International Role of The Dollar", with Ganesh Viswanath-Natraj and Junxuan Wang


BOOK  CHAPTER  

Model Selection for High-Dimensional Problems (with Jingzhi Huang and Wei Zhong), 2013, Handbook

of Financial Econometrics and Statistics, edited by C.F. Lee and John Lee, Chapter 77, Springer Verlag.

TEACHING           

Interest Rate Models (Tsinghua, Master in Finance)                                                                            2021-2022

FinTech and Financing Innovation (Tsinghua, Master in Finance)                                                       2021-2022

Fixed Income, Currencies and Commodities (Tsinghua, Master in Finance)                                       2020-2022

Financial Derivatives (Tsinghua, undergraduate)                                                                                 2016-2019

Financial Risk Management (Tsinghua, undergraduate)                                                                      2016-2019

Options & Futures I (OSU, undergraduate)                                                                                          2014-2016

Fixed Income & Credit Risk (OSU, MBA & Master in Finance)                                                            2014-2016

Derivative Markets (PSU, undergraduate)                                                                                                     2012

Security Analysis and Portfolio Management (PSU, undergraduate)                                                   2010-2011


REFEREE  SERVICE 

Journal of Finance, Review of Financial Studies, Review of Finance, Management Science, Journal of Financial and Quantitative Analysis Journal of Business & Economic Statistics, Journal of Empirical Finance, Journal of Banking & Finance