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Diep Duong

Senior Financial Economist

Market Risk Analysis Division

Diep (ND) Duong is a Senior Financial Economist in the Market Risk Analysis Division within Supervision Risk & Analysis 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 interests are risk modeling, financial econometrics, asset pricing, and fixed income. His current research focuses on the usefulness of the implied volatility surface information derived from equity option markets and the measurement and prediction of volatility and jump risks using high frequency data. His research paper was awarded the Financial Management Association (FMA) 2014 Best Paper Award.

Dr. Duong earned a Ph.D. in Economics (concentration in Financial Economics and Econometrics) from Rutgers University with a year as an exchange graduate student at Princeton University studying asset pricing and high frequency financial econometrics. He also holds an M.S. in Financial Engineering (Computational Finance track) from Polytechnic University (now NYU Tandon School of Engineering).

Dr. Duong’s research can be found here.

  1. Duong and Swanson (2015) "Empirical Evidence on The Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction," Journal of Econometrics, 187, 606-621.
  2. 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.

  1. Duong and Park (2022) “Understanding the Cross-Section of CDS Returns Using Equity Options”, (submitted)
  2. Duong (2022) “Empirical Evidence on the Predictive Relationship between the Implied Volatility Surface and Realized Measures of Volatility and Jump Risks” (work in progress)
  3. Duong (2021) “Empirical Evidence on the Information Content of the Aggregation, Asymmetry, and Skew of the Implied Volatility Surface for Volatility Prediction”

  1. Duong (2021). “The Implied Volatility and Skew in the short, medium, and the long run as idiosyncratic risk measures”, Banking System Risk Quantification Working Group internal research project
  2. Duong and Swanson (2015) "Density and Conditional Distribution Based Specification Analysis," Handbook of Financial Econometrics and Statistics, Springer, New York, pp. 1509-1561.