Dr. WU Qi (吴琦 博士) Ph.D (Columbia University), M.S (Peking University), B.Eng (Wuhan University)



Associate Professor, School of Data Science, TenuredProgram Leader, AI-Powered Financial Technology Ltd.PI, JD Digits Laboratory in Financial Technology and EngineeringExecutive Committee, Hong Kong Institute of Data Science


Contact Information Office: LAU-11-256
Phone: (+852) 3442-7868
Email: qiwu55@cityu.edu.hk

Research Interests Quantitative Finance
Financial Technology
Business Analytics
Applied Probability







Previous Experience 2013 - 2018, The Chinese University of Hong Kong, Department of System Engineering and Engineering Management, Assistant Professor, Hong Kong. -- Research areas: Financial Engineering, Applied Probability, Operations Research.
2012 - 2013, The Depository Trust & Clearing Corp., Division of Financial Engineering, Senior Quantitative Analyst, New York. -- Team Lead of Interest Rate Analytics and Stress Testing Methodology.-- Developing Quant Analytics for USD Cash and Derivative Securities.
2010 - 2012, UBS Investment Bank, Fixed Income Division, USD Non-Linear Rates and Structured Rates Desk, Associate Director, Stamford CT. -- Pricing and Risk Managing of Interest Rate Exotic Products.-- Developing Asia (ex-Japan) USD Structure Notes Trading Business.
2008, Lehman Brothers, Fixed Income Division, Quantitative Credit Research Group, Quantitative Associate, London. -- Developing Production Pricing Models for Single-name Credit Derivatives.-- Prototyping Portfolio-level Hedging of FX Exposure in the Credit Derivative Book.



Research Grants HKRGC - GRF, “Generative Models of Multivariate Dependence for Asset Retu, Amount: HKD $952,494, 2021 - 2023, Qi WU (sole-PI).
HKRGC - GRF, "Risk-Potential Framework for Dynamic Portfolio Selection
Studies on Margin Procyclicality - the Impact of Volatility, Amount: HKD $582,000, 2018 - 2020, Qi WU (sole-PI).
HKRGC - GRF, "Asymptotic Analysis of Portfolio Tail Risk and the Diversif, Amount: HKD $482,605, 2017 - 2019, Qi WU (sole-PI), Heng SUN (Co-I), Bank of New York Mellon.
HKRGC - Early Career Scheme, "Low-dimensional Modeling of Collateralized Term Structure w, Amount: HKD $656,737, 2015 - 2018, Qi WU (sole-PI).
CUHK Faculty of Engineering Direct Research & Startup Grant, “Interest Rate Derivative Modeling in the Post-Crisis Era”, Amount: HKD $300,000, 2013 - 2015, Qi WU (sole-PI).



External Services
Professional Activity Jan 2019 - Now, Member of Expert Review Panel, Hong Kong R&D Centre for Logistics and Supply Chain Management Enabling Technologies (LSCM).Hong Kong.




Service in CityU
Administrative Assignment 1 Jul 2019 - Now, SGS Academic Conduct Committee, Member.
Sep 2018 - Now, Hong Kong Institute of Data Science, Member of Executive Committee.




Papers Risk and Return Prediction for Pricing Portfolios of Non-performing Consumer Credit (ICAIF'21)Siyi Wang, Xing Yan, Bangqi Zheng, Hu Wang, Wangli Xu, Nanbo Peng, Qi Wu (Corresponding)
Higher-Order Orthogonal Causal Learning for Estimation of Treatment Effects (2021, submitted)Yiyan HUANG, Cheuk Hang LEUNG, Xing YAN, Qi WU (Corresponding), Shumin MA, Zhiri YUAN, Nanbo PENG, Dongdong WANG, Zhixiang Huang
Transfer Learning of Dependence Shifts via Copula Regularization (2021, submitted)Shumin MA, Zhiri YUAN, Qi WU (Corresponding), Yiyan HUANG, Xixu HU, Cheuk Hang LEUNG, Nanbo PENG, Hu WANG, Bangqi Zheng
Generative Dependence Learning via Maximum Mean Discrepancy (2021, submitted)Xiangqian SUN, Xing YAN, Qi WU (Corresponding), Nanbo PENG, Hu WANG
Tail Risk Monotonicity under Temporal Aggregation in GARCH(1,1) Models (2021)
Submitted. [pdf, link]
Paul Glasserman, Dan Pirjol, and Qi WU
The Causal Learning of Retail Delinquency (2020)
Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI 2021). (pdf)
Y.Y. Huang, C.H. Leung, X. Yan, Q. WU (Corresponding), N.B. Peng, D.D. Wang, and Z.X. Huang
Memory-Gated Recurrent Networks (2020)
Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI 2021). (pdf)
Y.Q. Zhang, Q. Wu (Corresponding), N.B. Peng, M. Dai, J. Zhang, H. Wang
Understanding Distributional Ambiguity via Non-Robust Chance Constraint (2020)
2020 ACM International Conference on AI in Finance (ICAIF 2020). [pdf, link]
S.M. MA, C.H. LEUNG, Q. WU (Corresponding), W. LIU, and N.B. Peng
Efficient Subsidies via Supply Re-usability (2019)
Submitted. [pdf, link].
Shumin MA and Qi WU
Neural Learning of Online Consumer Credit Risk (2019)
Management Science (R&R). [pdf, link]
Di WANG, Qi WU (Corresponding), and Wen ZHANG
Capturing Deep Tail Risk via Sequential Learning of Quantile Dynamics (2019)
Journal of Economic Dynamics & Control. [pdf, link]
Xing YAN and Qi WU (Corresponding)
Cross-sectional Learning of Extremal Dependence among Financial Assets (2019)
Advances in Neural Information Processing Systems 32 (NeurIPS 2019). [pdf, link]
X. YAN, Q. WU (Corresponding), and W. ZHANG
Persistence and Procyclicality in Margin Requirements (2018)
Management Science. Vol.64, No.12. 5705 - 5724. [pdf, link]
Paul Glasserman and Qi WU
Parsimonious Quantile Regression of Asymmetrically Heavy-tailed Financial Return Series (2018)
Advances in Neural Information Processing Systems 31 (NeurIPS 2018). [pdf, link]
X. YAN, W. ZHANG, L. Ma, W. Liu, and Q. WU (Corresponding)
Procyclicality in Sensitivity-Based Margin Requirements (2018)
Margin in Derivatives Trading. Risk Books. 293 - 309. [pdf, link]
Paul Glasserman and Qi WU
Asymptotics of Portfolio Tail Risk Metrics for Elliptically Distributed Asset Returns (2016)
Working paper. (pdf, link)
Andrew Lesniewski, Heng SUN, and Qi WU
A Dual-curve Short Rate Model with Multi-factor Stochastic Volatility: I. Asymptotic Analysis (2015)
Working paper. [pdf, link]
Andrew Lesniewski, Heng SUN, and Qi WU
Series Expansion of the SABR Joint Density (2012)
Mathematical Finance. Vol.22, No.2. 310 - 345. [pdf, link]
Qi WU
Forward and Future Implied Volatility (2011)
International Journal of Theoretical and Applied Finance. Vol.14, No.03. 407 - 432. [pdf, link]
Paul Glasserman and Qi WU (Corresponding)
Symplectic Parareal (2008)
Domain Decomposition Methods in Science and Engineering XVII [pdf, link]
Guillaume Bal and Qi Wu



Last update date : 13 Nov 2021