Zhenyu Wang

Zhenyu Wang is a Special-Term Professor of Finance at Shanghai Advanced Institute of Finance (SAIF), Professor of Business Finance and Edward E. Edwards Professor of Finance at the Kelley School of Business in Indiana University (Bloomington). He was formerly a Vice President at the Federal Reserve Bank of New York, where he was the Head of Financial Intermediation Function. Before working in the Fed, he had been a tenured faculty member at the University of Texas at Austin and an associate professor at Columbia University.

Professor Wang specializes in financial markets, financial intermediation, derivatives securities, risk management, portfolio management, and financial econometrics. He has published research papers in top finance journals including the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, and Management Science. He has won the American Association of Individual Investors Award for Best Paper on Investments at the Western Finance Association Meeting in 1994. He has served on the editorial boards of multiple academic journals including Management Science, Journal of Empirical Finance, Journal of Banking and Finance, and the Quarterly Journal of Finance, etc.

Professor Wang’s work has impacts on academic research, business education, and financial regulations. He helped the U.S. Treasury to reform the Treasury’s Tax and Loans Investment Program in 1999. He designed a pricing method for the Fed's services in its payment system; the U.S. Federal Reserve System adopted the pricing method in 2002. During the recent financial crisis, he contributed directly to the design of several Fed emergency liquidity facilities, the reform of the Fed discount window collateral management system, the bailout of Bear Stearns and AIG, the setup of Maiden Lane II and III portfolios, and the financial terms of TARP. In the post-crisis era, he has influenced the U.S. and international regulatory standards of bank capital.

Professor Wang has extensive teaching experience on a variety of courses including Investments, Financial Derivatives, Asset Pricing Theory, and Financial Econometrics in undergraduate, MBA, executive MBA, and Ph.D. programs. He has won multiple teaching awards.

Professor Wang holds an M.A. (1993) and a Ph.D. (1995) in economics from University of Minnesota at Twin Cities. He is a recipient of the Alfred Sloan Doctoral Dissertation Fellowship.

Areas of Expertise

• Financial markets, Financial intermediation, Derivatives securities, Risk management, Portfolio management, Financial econometrics

Academic Degrees

• PhD, Economics, University of Minnesota at Twin Cities, 1995
• MA, Economics, University of Minnesota at Twin Cities, 1993
• MS, Mathematics, Dalian Institute of Technology, China, 1985
• BS, Mathematics, Dalian Institute of Technology, China, 1982

Professional Experience

• Edward E. Edwards Professor, May 2015 - present
• Kelley School of Business, Indiana University, Professor of Business Finance, with tenure, July 2012 - present
• Federal Reserve Bank of New York, Head of Financial Intermediation Function, January 2009 - June 2012
• Federal Reserve Bank of New York, Vice President, June 2005 - June 2012
• McCombs School of Business, University of Texas at Austin, Associate Professor of Finance, with tenure, July 2004 - May 2005
• Graduate School of Business, Columbia University, Associate Professor of Finance, July 1998 - June 2004
• Graduate School of Business, Columbia University, Assistant Professor of Finance, July 1995 - June 1998

Selected Publications

• McAndrews, J., Sarkar, A. and Wang, Z. (2017). The Effect of the Term Auction Facility on the London Interbank Offered Rate. Journal of Banking and Finance, 83, 135-152.
• Abstract
• Sundaresan, S. M., and Wang, Z. (2015). On the Design of Contingent Capital with a Market Trigger. Journal of Finance, 70(2), 881-920.
• Abstract
• Wang, Z., and Zhang, X. (2012). Empirical Evaluation of Asset Pricing Models: Arbitrage and Pricing Errors in Contingent Claims. Journal of Empirical Finance, 19(1), 65–78.
• Glasserman, P., and Wang, Z. (2011). Valuing the Treasury's Capital Assistance Program. Management Science, 57(7), 1195-1211.
• Guasoni, P., Huberman, G., and Wang, Z. (2011). Performance Maximization of Actively Managed Funds. Journal of Financial Economics, 101(3), 574-595.
• Sundaresan, S., and Wang, Z. (2009). Y2K Options and the Liquidity Premium in Treasury Markets. Review of Financial Studies, 22(3), 1021 - 1056.
• Wang, Z. (2005). A Shrinkage Approach to Model Uncertainty and Asset Allocation. Review of Financial Studies, 18(2), 673-705.
• Jagannathan, R., and Wang, Z. (2002). Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods. Journal of Finance, 57(5), 2337-2367.
• Jagannathan, R., and Wang, Z. (1998). An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression. Journal of Finance, 53(4), 1285-1309.
• Wang, Z. (1998). Efficiency Loss and Constraints on Portfolio Holdings. Journal of Financial Economics, 48(3), 359-375.
• Jagannathan, R., and Wang, Z. (1996). The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance, 51(1), 3-53.