Skip Ribbon Commands
Skip to main content
Navigate Up
Help (new window)
Sign In

Washington University in St Louis Olin Business School

Olin Business SchoolOlin Business School
Home > Academic Programs > PhD > On the Market
Share

Suying Liu, PhD, Finance

Research Interests:
My research covers topics in Asset Pricing, Corporate Finance and Information Economics, and Risk Measurement and Management. I am interested in the relationships of risk and return, information and efficiency, as well as incentive and performance.

Job Market Paper Title: “Interest Rate Risk of Surrender Options in Life Insurance Products”

Abstract: The surrender option embedded in life insurance products gives policy holders a right to exchange an existing policy for its cash surrender value. Although this value changes over time, its schedule is known and remains fixed throughout the life of the policy, independent in particular of the movement in the market interest rates. The insurance premium of a new policy, however, reflects the ongoing interest rate dynamics. Life insurers, shorting this surrender option to policy holders, therefore bear interest rate risk since policy holders can effectively "re-finance" their policies. To gauge this risk, this paper develops a pricing model to value the surrender option, capturing both its American feature and the irrational exercising behavior that is common in life insurance markets. The model is then implemented numerically, showing that whether surrender options actually impose risk upon life insurers depends closely on the interest rate environment, and that the option price is sensitive especially to the competitive landscape of the life insurance industry.

Other Completed Papers:
Title: “Systematic Risk” (joint with Ohad Kadan and Fang Liu), under review

Abstract: We generalize the concept of “systematic risk” to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different approaches. First is an equilibrium framework generalizing the Capital Asset Pricing Model, two-fund separation, and the security market line. Second is an axiomatic approach resulting in a systematic risk measure as the unique solution to a risk allocation problem. Both approaches lead to similar results extending the traditional beta to capture multiple dimensions of risk. The results lend themselves naturally to empirical investigation.

Title: “Signaling with Dynamic Payoffs”

Abstract: Conventional wisdom from signaling models involving static payoffs may not carry over to a setting with dynamic payoffs, where a fundamental trade-off between current and future payments is important. In this paper, I develop a continuous-time game-theoretic model in which a breakdown will not occur in a market with asymmetric information, where both separating and pooling equilibria are possible. Consequently, an equilibrium may not be informationally consistent in a dynamic environment. Moreover, if an equilibrium is indeed revealing, whether the signal is dissipative is completely endogenous. These findings result in novel implications for executive compensation when the model is applied to such a context.


Faculty Advisor(s):
Previous Employment:
  • Summer Associate, Fixed Income Strategy, J.P. Morgan, June – August 2014
  • Adjunct Professor, Washington University in St. Louis, January 2014 – May 2014, Quantitative Business Analysis (BSBA core, teaching evaluation: 8.5/10)
  • Guest Lecturer, Washington University in St. Louis, September 2011 – December 2013, Financial Management (MBA core, BSBA elective), Growth through Corporate Strategy (EMBA core, teaching evaluation: 9/10)
Education:
  • 2010, BA in Economics and Mathematics, summa cum laude, 2010, Washington University in St. Louis
  • 2012, MS Business Administration, Washington University in St. Louis
Hometown:
Beijing, China


Curriculum Vitae | Website