讲座标题: Volatility, correlation and financial tail risk.
内容摘要：We develop a novel high-dimensional non-Gaussian framework to infer joint and conditional measures of financial tail risk. For this setting we also derive a conditional law of large numbers which permits the computation of joint and conditional risk measures within seconds. Joint risk assessments are based on a dynamic multivariate skewed-t copula which accommodates asymmetries, heavy tails, as well as non-linear and time-varying dependence in asset values. We apply the framework to euro area sovereign Credit Default Swap spreads during the European debt crisis. Our results reveal significant time-variation in distress dependence and spill-over effects for sovereign default risk. We also apply the modeling framework to assess the risk from multiple financial firm defaults in the euro area during the financial and sovereign debt crisis, and find unprecedented joint tail risks during 2011-12.
讲座人及简介: 张昕，2007年获8797威尼斯老品牌经济学学士学位，2013年获 VU University Amsterdam / Tinbergen Institute 金融学博士学位，现就职于瑞典央行研究部，研究领域包括计量、金融经济学、信用风险等。部分研究成果已被Journal of Business & Economic Statistics接受发表。
地点: 8797威尼斯老品牌302会议室
时间: 2014年02月26日中午12：00
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