Market Risk Analysis Division
Junjie Sun is Deputy Director of the Market Risk Analysis Division (Market RAD) at the Office of the Comptroller of the Currency (OCC). He was appointed to this position in 2016. Prior to this position, Dr. Sun was a lead modeling expert from 2013 to 2016, a senior financial economist from 2009 to 2013, and a financial economist from 2007 to 2009 in Market RAD.
As Deputy Director, Dr. Sun assists the Market RAD Director in planning and implementing horizontal bank examination projects, supervises on-site and off-site bank-specific analyses of quantitative models and methods for valuation and risk measurement in the areas of derivative pricing, market risk and counterparty credit risk management and regulatory capital calculation, Dodd-Frank Act stress testing, asset-liability management, and mortgage banking, as well as advising on quantitative modeling issues to bank examiners and policy makers in the OCC.
Dr. Sun holds a Ph.D. in economics and a master's degree in statistics from Iowa State University.
- Working Papers
- "Understanding Commercial Real Estate Indices" (with X. Yang and X. Zhao), Journal of Real Estate Portfolio Management, 18(3), 289-303, 2012.
- "Testing Institutional Arrangements via Agent-Based Modeling: A U.S. Electricity Market Application", (with H. Li and L. Tesfatsion), chapter in Computational Methods in Economic Dynamics, 2010.
- "Dynamic Testing of Wholesale Power Market Designs: An Open-Source Agent-Based Framework," (with L. Tesfatsion), Computational Economics, (30): 291-327, August 2007.
- "Aggregate Liquidity Shortage, Housing Market Conditions, and Bank Failures" (with D. Wu and X. Zhao).
- "Predicting 2007-2009 Housing Market Crash – Evidence from U.S. Mortgage Prepayment Activities" (with X. Zhao).