统计与管理学院2017年学术报告第19期

【主  题】Modeling Systemic Risk --- A DCC-Filtered Historical Simulation Approach

【报告人】杜在超, 教授

西南财经大学

【时  间】 2017年04月26日（星期三）14:00－15:00

【地  点】 上海财经大学统计与管理学院大楼1208室

【摘  要】This paper proposes a DCC-filtered historical simulation approach to modeling systemic risk. We explain our method in terms of CoVaR and CoES (Adrian and Brunnermeie 2016), and show its applicability to Marginal Expected Shortfall (MES) and SRISK. Empirical applications to U.S. and Europe financial markets highlight the merits of our method.

【邀请人】 张志远