Market Risk Analysis Division
Diep (ND) Duong is a Financial Economist in the Market Risk Analysis Division within the Economics Department at the Office of the Comptroller of the Currency (OCC).
Dr. Duong joined the OCC in 2015. Before joining the OCC, he was an Assistant Professor of Finance at Utica College. His primary areas of research are risk modeling, asset pricing, fixed income, financial econometrics. He has been awarded the Financial Management Association (FMA) 2014 Best Paper Award. He earned a Ph.D. in Economics from Rutgers University with a year as an exchange graduate student at Princeton University. He also holds an M.S. in Financial Engineering from Polytechnic University.
- Duong and Swanson (2015) "Empirical Evidence on The Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction," Journal of Econometrics, 187, 606-621.
- Duong and Swanson (2015) "Density and Conditional Distribution Based Specification Analysis," Handbook of Financial Econometrics and Statistics, Springer, New York, pp. 1509-1561.
- Duong and Swanson (2011) "Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps," Missing Data Methods: Advances in Econometrics, vol. 27, pp. 179-233.