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Indiana University Bloomington

Department of Finance

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A 2012 Businessweek recruiter poll placed Kelley's Department of Finance in the top 10 programs for the quality of finance instruction.

Zhenyu Wang

Contact Information

(812) 856-2029
zw25 [at] indiana [dot] edu (E-mail)
Business School

Download Vita

Faculty Web Page

  • Professor of Finance

Campus

  • Bloomington

Education

  • 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

  • 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

Professional Interests

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

Background

Zhenyu Wang is professor of finance at the Kelley School of Business in Indiana University. He was formerly a vice president at the Federal Reserve Bank of New York, where he was the head of Financial Intermediation Function. During the recent financial crisis, he contributed directly to the design of Fed emergency liquidity facilities, the reform of Fed discount window collateral management, the bailout of Bear Stearns and AIG, the security design of TARP, and the development of new capital requirements for banks. Before working at the NY Fed, he was a faculty member at Graduate School of Business in Columbia University for nine years and at the School of Business in UT Austin for one year. He has published research on equity, fixed income, derivative securities, asset management, and financial econometrics. Some of his publications are influential in business education and bank regulation. One of his papers was awarded the Best Paper on Investments at the Western Finance Association. Professor Wang obtained his Ph.D. degree in economics from the University of Minnesota, where he received the Alfred P. Sloan Doctoral Dissertation Fellowship.

Selected Publications

  • Sundaresan, Suresh M., and Wang, Zhenyu (2015), “On the Design of Contingent Capital with a Market Trigger” Journal of Finance, 70 (2), 881-920.

    Read Abstract ››

  • Guasoni, Paolo, Gur Huberman, and Zhenyu Wang (2011), "Performance Maximization of Actively Managed Funds," Journal of Financial Economics, 101 (3), 574 - 595.

  • Glasserman, Paul and Zhenyu Wang (2011), "Valuing the Treasury's Capital Assistance Program," Management Science, 57 (7), 1195 - 1211.

  • Sundaresan, Suresh and Zhenyu Wang (2009), "Y2K Options and the Liquidity Premium in Treasury Markets," Review of Financial Studies, 22 (3), 1021 - 1056.

  • Wang, Zhenyu (2005), "A Shrinkage Approach to Model Uncertainty and Asset Allocation," Review of Financial Studies, 18 (2), 673 - 705.

  • Jagannathan, Ravi, and Zhenyu Wang (2002), "Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods," Journal of Finance, 57 (5), 2337-2367.

  • Jagannathan, Ravi, and Zhenyu Wang (1998), "An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression," Journal of Finance, 53 (4), 1285-1309.

  • Wang, Zhenyu (1998), "Efficiency Loss and Constraints on Portfolio Holdings," Journal of Financial Economics, 48 (3), 359-375.

  • Jagannathan, Ravi, and Zhenyu Wang (1996), "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, 51 (1), 3-53.