Financial Engineering and Risk Management Research Center

The Financial Engineering and Risk Management Research Center of Tianjin University of Science and Technology is one of the first batch of key research bases for philosophy and social sciences established by the university based on the "Financial Engineering and Risk Management" research team established in 2004. Under the promotion of the "13th Five Year Plan" in 2015, it voluntarily applied for, expert defense, and university research, and submitted official documents following strict procedures.

Introduction by the Head of the Research Center

Professor Du Ziping, a PhD supervisor and director of the research center, specializes in financial engineering and risk management. He received education from the Institute of Systems Science at the Chinese Academy of Sciences, Shanghai Jiao Tong University, and Tianjin University. Currently, he serves as an executive council member of the Financial Branch and Industrial Engineering Branch of the Chinese Society of Management Science and Engineering, a consultation expert for the Tianjin Municipal Government, and a recipient of the Tianjin "Five One Batch" Talent Award. As an academic leader, he established doctoral programs in "Light Industry Technology Economics" and master's programs in "Management Science and Engineering", "Business Administration," and "Applied Economics." Since 2004, he has secured research grants including the China Postdoctoral Science Foundation Project and two National Natural Science Foundation projects on "Nonlinear Dependent Copula Analysis". He has published over 40 academic papers in prestigious journals such as the Journal of Management Science, Energy, and Ecological Economy, and has been awarded three Second and Third Prizes for Social Science Outstanding Achievement by the Tianjin Municipal Government.

Research direction and characteristics

The research center serves as an interdisciplinary, cross-school, and cross-industry collaborative platform involving both intra-university and external partners. Its core members include young scholars such as Drs./Profs. Zhang Lidong, Zhang Guofu, Zhang Jun, Gong Yuxia, Zhang Huiyi, Li Yang, Meng Xiangbo, He Xiaoli, Zheng Hui, Chen Gang, and Li Jingjing (comprising PhDs, professors, and associate professors), focusing on three key research directions in "eco-green finance": Green Financial Markets and Institutional Mechanisms, Risk Mitigation and Safety Strategies, System Big Data and Eco-Green Management Simulation. The team maintains international competitiveness in financial market research areas like volatility co-persistence, vine Copula, and Copula Bayesian Networks, establishing domestic leadership in these fields. Notably, the widely used Chinese terminology in these areas predominantly stems from the team's research outputs, exerting notable academic influence.

Main research directions of center members

1. Du Ziping: Construction of GARCH Model for Financial Risk, Nonlinear Dependent copula Analysis, Green Finance

2. Gong Yuxia: Financial Market Analysis, Green Finance

3. Zhang Huiyi: Financial markets

4. Zhang Guofu: Energy Finance and Financial Market Dependence

5. Zhang Lidong: Actuarial Science, Option Pricing, and Moment Matching Theory Methods

6. Zheng Hui: Carbon footprint measurement, corporate carbon management

7. Zhang Jun: Financial big data analysis, financial risk management

8. Li Yang: Agricultural Product Supply Chain and System Simulation

9. Wang Hongwu: Quantitative (Cheng Xuhua) Trading

10. He Xiaoli: Analysis of the Energy Finance Market

11. Dream Xiangbo: Financial Quantitative Analysis

12. Zheng Shiqiu: Quantitative Analysis of Financial Risks and Financial Statistics

The main projects undertaken by members of the research center in the past three years

[1] Trade Order Database Management System Development Enterprise Horizontal Project June 20, 2023-December 31, 2023 Host: Zhang Lidong

[2] Research and Practice on the Teaching Reform of Mathematics Courses in Management and Economics Universities under the Background of New Liberal Arts. China Higher Education Association's 2023 Higher Education Science Research Plan Project (23SX0410), January 2024 December 2025, Host: Zhang Lidong

[3] Research on Building Innovation Ecology in Universities from the Perspective of Alumni Economy, Tianjin Science and Technology Commission Project, October 2023, Hosted by Gong Yuxia

[4] Research on the Development Characteristics and Direction of Tianjin's Industrial Chain, Tianjin Bureau of Statistics Scientific Research Project, March 2023.3, Host: Li Jingjing

[5] Research on Asset Pricing and Risk Measurement Based on Functional Backward Stochastic Differential Equations, Humanities and Social Sciences Research Project of the Ministry of Education, Youth Fund Project (20YJCZH245), Host: Zheng Shiqiu

Major academic papers published by members of the research center in the past three years

1. Tang Jinghua, Zhang Lidong, Du Ziping Research on Pricing of Spread Options under the Vasilek Ornstein Uhlenbeck Model Journal of Nankai University (Natural Science Edition), 2023, 56 (3), 6-12

2. Ting Ke, Xuechun Ge, Lidong Zhang, Yaozong Zheng, Chuanlei Zhang, et al. A general maximal margin hyper-sphere SVM for multi-class classification. Expert Systems With Applications, 2023, 237, 121647.

3. Zhang Guofu, Dynamic connectedness of China’s green bonds and asset classes, North American Journal of Economics and Finance, 2022, 63, 1-15. SSCI

4. Zhang Guofu, Distributional Predictability and Quantile Connectedness of New Energy, Steam Coal, and High-Tech in China, Sustainability, 2022,14,1-16. SSCI

5. Du Ziping, Research on the Dependence Structure of China and International Industries under the Background of Economic "Dual Circulation" [J], East China Economic Management, 2023.7 CSSCI

6. Du Ziping, Research on Industry Dependence Based on ESG under the Background of "Dual Circulation", Statistics and Decision making, July 2023 CSSCI

7. Zhang Huiyi, Can Digital Finance Reduce the Risk of Corporate Debt Default? Based on Corporate Governance Level, Financial Theory and Practice, March 2023

8. Gong Yuxia, Research on the Relationship between Executive Team Characteristics, Enterprise Size, and Innovation Performance: Empirical Analysis Based on AI Listed Companies, Enterprise Technology and Development, March 2023

9. Research on Risk Spillover between Zhang Guofu and Other Green Bonds and Other Financial Markets - Based on TVP-VAR Frequency Domain Spillover Model Journal of Jiangsu University (Social Sciences Edition) CSSCI (Extended Edition) 2024.3

10. Knowledge Mobilization Mechanism of Zhang Jun and Other Virtual Network Organizations: Technological Progress and Countermeasures from the Perspective of Organizational Mix and Liquidity CSSCI 2024.5

11. Li Yang et al. Knowledge Reconstruction and Value Restructuring: Research on the Twin System of Library Knowledge Services Information Theory and Practice CSSCI 2024.2

12. Zhang Li, Dongwu Shuimiao, etc Pricing of commercial options based on the Hull-White model using moment matching Journal of Shandong University (Science Edition) December 2024

13. Zheng Shiqiu On g-expectations and filtration-consistent nonlinear expectations. Stochastic Processes and their Applications，178, 104464 (2024)

金融工程与风险管理研究中心

天津科技大学金融工程与风险管理研究中心，是在2004年建立的“金融工程与风险管理”研究团队基础上，在2015年“十三五”规划推动下，自愿申报、专家答辩、学校研究、下发红头文件，按照严格程序批准成立的学校首批哲学社会科学重点研究基地。

研究中心负责人介绍

杜子平教授、博士生导师担任研究中心主任，主攻金融工程及其风险管理；曾求学于中国科学院系统所、上海交通大学、天津大学。现为中国管理科学与工程学会金融分会、工业工程分会常务理事，天津市政府咨询专家，天津市“五个一批”人才。作为带头人，创建了“轻工产业技术经济”博士点、“管理科学与工程”、“工商管理”、“应用经济学”等硕士点。自2004年以来，获中国博士后科学基金项目、两项“非线性相依Copula分析”国家自然科学基金项目等；在《管理科学学报》《Energy》《生态经济》等重要期刊发表四十余篇学术论文，并三次获天津市政府社会科学成果二等、三等奖。

研究方向与特色

研究中心为跨学科、学院、行业的校内外合作群体，主要由张立东、张国富、张俊、龚玉霞、张慧毅、李杨、孟祥波、贺小莉、郑辉、陈钢、李晶晶等年轻博士、教授、副教授组成，在“生态绿色金融”领域展开“绿色金融市场与制度”“风险规避与安全策略”“系统大数据与生态绿色管理仿真”方向研究。在金融市场“波动协同持续”“藤Copula”“Copula贝叶斯网络”方面紧跟国际前沿，走在国内前列，其流行的中文术语沿用团队成果在学术界有一定影响。

中心成员主要研究方向

1. 杜子平：金融风险GARCH模型建构、非线性相依copula分析、绿色金融

2. 龚玉霞：金融市场分析、绿色金融

3. 张慧毅：金融市场

4. 张国富：能源金融、金融市场相依性

5. 张立东：保险精算、期权定价、矩匹配理论方法

6. 郑辉：碳足迹测定、企业碳管理

7. 张 俊：金融大数据分析、金融风险管理

8. 李杨：农产品供应链、系统仿真

9. 王洪武：量化（程序化）交易

10. 贺晓莉：能源金融市场分析

11. 梦祥波：金融定量分析

12. 郑石秋：金融风险量化分析、金融统计

近三年来研究中心成员承担的主要项目

[1]贸易订单数据库管理系统开发 企业横向项目 2023年6月20日—2023年12月31日 主持人：张立东

[2]新文科背景下经管类大学数学课程教学改革研究与实践 中国高等教育学会2023年度高等教育科学研究规划课题（23SX0410） 2024年1月-2025年12月，主持人：张立东

[3]“校友经济”视角下构建高校创新生态研究，天津市科委项目，2023.10，主持人：龚玉霞

[4]天津市产业链发展特征及发展方向研究，天津统计局科学研究项目，2023.3，主持人：李晶晶

[5] 基于泛函倒向随机微分方程的资产定价与风险度量研究，教育部人文社会科学研究项目，青年基金项目（20YJCZH245），主持人：郑石秋

近三年来研究中心成员发表的主要科研论文

1.唐京华,张立东,杜子平 .Vasiek-Ornstein-Uhlenbeck模型下价差期权定价研究.南开大学学报（自然科学版），2023,56(3)，6-12.

2.Ting Ke, Xuechun Ge, Lidong Zhang, Yaozong Zheng, Chuanlei Zhang et al. A general maximal margin hyper-sphere SVM for multi-class classification. Expert Systems With Applications, 2023, 237, 121647.

3.Zhang Guofu，Dynamic connectedness of China’s green bonds and asset classes, North American Journal of Economics and Finance, 2022, 63, 1-15. SSCI

4. Zhang Guofu，Distributional Predictability and Quantile Connectedness of New Energy, Steam Coal, and High-Tech in China, Sustainability, 2022,14,1-16. SSCI

5. 杜子平等，经济“双循环”背景下中国与国际产业相依结构研究[J]，华东经济管理，2023.7. CSSCI

6. 杜子平等，“双循环”背景下基于ESG的产业相依关系研究，统计与决策，2023.7. CSSCI

7. 张慧毅，数字金融能否降低企业债务违约风险 ——基于公司治理水平，金融理论与实践，2023.8.

8. 龚玉霞，高管团队特征、企业规模与创新绩效的关系研究——基于人工智能上市企业的实证分析，企业科技与发展，2023.03

9.张国富等 绿色债券与其他金融市场间的风险溢出研究—基于 TVP-VAR频域溢出模型 江苏大学学报（社会科学版）CSSCI（扩展版）2024.3

10.张俊等 虚拟网络组织的知识动员机制———基于组织混合性和流动性视域 科技进步与对策 CSSCI 2024.5

11. 李杨等 知识重构与价值重组:图书馆知识服务孪生系统研究 情报理论与实践 CSSCI 2024.2

12．张立东 吴水苗等.基于矩匹配的Hull-White模型下商期权定价.山东大学学报(理学版) 2024.12

13.郑石秋 On g-expectations and filtration-consistent nonlinear expectations. Stochastic Processes and their Applications，178, 104464 (2024)