Faculty Directory
Heng Chen

Adjunct Professor

Contact

2145 Sheridan Road
Tech
Evanston, IL 60208-3109

Email Heng Chen

Affiliations

Master of Science in Analytics Program

Education

PhD, Econometrics and Environmental Economics, the Ohio State University, Columbus, Ohio, 1993.

MS, Environmental Ecology, University of California at Davis, California, 1988.

MS, Agricultural and Resources Economics, University of California at Davis, California, 1988.

BS, Mathematical Ecology, South China University of Tropical Crops, 1983.


Research Interests

Over the past 20 years, Heng Chen has been working for several major banks such as American Express, Discovery Financial Services, GE Capital, and Hong Kong Shanghai Banking Corporation with an extensive business experience in predictive modeling analytics for retail and whole sale financial products. Heng began his professional career in 1993 as a faculty at Michigan State University, and joined American Express in 1997. He provided the modeling and analytical supports in marketing acquisitions and credit risk management for credit cards and other financial products. His analytical interests include applications of discrete choice econometric models in risk management. His analytical experience in risk management includes targeting, new accounts underwriting, point of sale credit authorizations, portfolio risk management, recovery and collections, CCAR stress testing, and economical capital. His latest research is focused on economic capital estimation for operational risk via loss distribution approach per Basel requirements with semi-nonparametric methodology. Heng published in several peer-reviewed journal articles, including Journal of Econometrics, American Journal of Agricultural Economics, and Journal of Credit Risk. Heng is also a contributing author to an academic graduate textbook in Environmental Economics, Edward Elgar Publishing.


Selected Publications

    Chen, Heng Z. “A New Model for Bank Loan Loss-Given-Default by Leveraging Time to Recovery”, Journal of Credit Risk. Forthcoming, 2018.

    Chen, Heng Z. and Alan Randall, Semi-nonparametric Estimation of Binary Response Models with An Application to Natural Resource Valuation, Journal of Econometrics, 1997.

    Chen, Heng Z. and Stephen R. Cosslett, “Environmental Quality Preference and Benefit Estimation in Multinomial PROBIT Models: A Simulation Approach,” American Journal of Agricultural Economics, 1998.

    Chen, Heng Z., Frank Lupi, and John P. Hoehn, An Empirical Assessment of Multinomial PROBIT and LOGIT Models of Recreational Demand in Valuing the Recreation and Environment: Revealed Preference Methods in Theory and Practice (C. Kling and J. Herriges, eds.), Edward Elgar, pp. 141-162, 1999.

    Chen, Heng Z., The Estimation of a Complete Demand System: A Simulation Approach to Censored TOBIT Model. Submitted to Journal of Business and Economic Statistics. Revise and Resubmit, 1999.

    Chen, Heng Z., “Nested LOGIT Models for Reject Inference in Acquisition Credit Risk Management: Leveraging the Risk Correlation Between DFS Trade and Non-DFS Trades,” Discover Financial Services, 2013.