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Wenling Lin

Financial Economist
Market Risk Analysis 
(202) 649-5550
Wenling.Lin@occ.treas.gov

Wenling Lin is a Senior Financial Economist in the Market Risk Analysis Division of the Office of the Comptroller of the Currency (OCC).

At the OCC, Dr. Lin serves as a market-risk modeling expert participating in on-site exams and ongoing supervision at large national banks. Her responsibility is to review and evaluate models used for market risk management, stress testing, regulatory capital calculations, investment management, and asset-liability management. Dr. Lin’s responsibility also includes the evaluation of model risk management in these areas. Her areas of expertise and research interests include market risk modeling and forecasting, stress testing, risk management, as well as investment management.

Before joining the OCC in 2009, Dr. Lin was a senior research analyst at Russell Investments, responsible for asset allocation, investment strategies, and fund manager research. Prior to working at Russell, she was an assistant professor of economics at the University of Wisconsin-Madison.

Dr. Lin holds a doctorate in economics from University of California-San Diego and is a certificated Financial Risk Manager.

  1. Lin, W. (2013). Is There any alpha in Institutional Emerging Market Equity Funds? Journal of Portfolio Management, 39, 106-117.
  2. Chen, F., & Lin, W. (2012). What Matters in International Equity Diversification? Journal of Investment Consulting, 13, 15-24.
  3. Lin, W. (2010). A New Measure of Tactical Allocation Skills in Performance Attribution Analysis. Journal of Performance Measurement, 50, 27-38.
  4. Lin, W., Hoffman, P., Duncan, A. (2009). Global Equity Investing: An Alternative Approach to Structuring Equity Portfolios. Journal of Portfolio Management, 35(2), 50-60.
  5. Lin, W. (2006). Performance of Institutional Japanese Equity Fund Managers. Journal of Portfolio Management, 32(4), 117-127.
  6. Lin, W., Kopp, L., Hoffman, P., & Thurston, M. (2004). Changing Risks in Global Equity Portfolios. Financial Analysts Journal, 60(1), 87-99.
  7. Ito, T., & Lin, W. (2001). Race to the Center: Competition for the Nikkei 225 Futures Trade. Journal of Empirical Finance, 8(3), 219-242.
  8. Lin, W. (2000). Controlling Risk in Global Multimanager Portfolios. Financial Analysts Journal, 56(1), 44-53.
  9. Lin, W. (1997). Impulse Response Function for Conditional Volatility in GARCH Models. Journal of Business & Economic Statistics, 15(1), 15-25.
  10. Lin, W. (1995). Market Closure and Predictability of Intradaily Stock Returns in the United States and Japan.  Journal of Empirical Finance, 2(1), 19-44.
  11. Lin, W. (1995). Japan's Financial Deregulation and Linkage of The Gensaki and Euroyen Deposit Markets. Journal of Applied Econometrics, 10(4), 447-467.
  12. Engle, R., Ito, T., & Lin, W. (1994). Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility. Review of Financial Studies, 7(3), 507-538.
  13. Ito, T., & Lin, W. (1994). Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets. Internationalization of Equity Market, edited by Jeffrey A. Frankel. The Chicago Press: Chicago and London, 309-333.
  14. Ito, T., & Lin, W. (1992). Lunch Break and Intraday Volatility of Stock Returns: An Hourly Data Analysis of Tokyo and New York Stock Markets.  Economic Letters, 39(1), 85-90.
  15. Ito, T., Engle, R., & Lin, W. (1992). Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination. Journal of International Economics, 32(2), 221-240.
  16. Lin, W. (1992). Alternative Estimators for Factor GARCH Models-A Monte Carlo Comparison. Journal of Applied Econometrics, 7(3), 259-279.
  17. Engle, R., Ito, T., & Lin, W. (1990). Meteor Showers or Heat Waves? Heteroskedastic Intra Daily Volatility in the Foreign Exchange Market.  Econometrica, 58(3), 525-542.
  1. Lin, W. (2011). International Equity Diversification: Small-Cap versus Small-Market Effects. Draft, Market Risk Division, Office of the Comptroller of the Currency.
  2. Lin, W. (2013). Quantify Finite Sample Bias in Calculating 10-day VaR. Draft, Market Risk Division, Office of the Comptroller of the Currency.