David Arthur Hsieh (born August 1, 1953, in Hong Kong) is a professor of finance at the Duke University Fuqua School of Business.
[2] Hsieh then spent a year working at the Federal Reserve Bank of New York before going to Massachusetts Institute of Technology for graduate school.
His 1993 article in the Journal of Financial and Quantitative Analysis used a GARCH (Generalized Autoregressive conditional heteroskedasticity) model to simulate the probability of large losses in asset markets (later known as Value at risk).
Hsieh's second stream of research has a series of articles on risks in hedge funds, many of them co-authored with Dr William Fung [1].
[2][4] Hsieh has received the CFA, Graham and Dodd Award of Excellence for the paper "Hedge Fund Benchmarks: A Risk-Based Approach", co-authored with William Fung and published in the Financial Analysts Journal in 2004; the Fischer Black Memorial Foundation and the 1999 Robert J. Schwartz Memorial Prize for the best paper on hedge funds.