经济学院学术报告之叶五一

2017-06-26, 星期一

报告题目:Dynamic quantile association regression model with applications to financial contagion and conditional value-at-risk

报告时间:2017年6月28日(星期三)下午15:30

报告地点:翡翠湖校区逸夫建筑艺术馆705

报告人: 叶五一 副教授

工作单位:中国科学技术大学

举办单位:经济学院

个人简介:叶五一,中国科学技术大学副教授,博士生导师;01年本科毕业于中国科学技术大学,06年获得中国科学技术大学金融工程专业博士,先后在台湾国立中山大学(7个月)、香港城市大学(3个月)、澳大利亚悉尼科技大学大学(3个月)等访问研究。主要研究方向:金融工程、风险管理、金融统计等。 发表金融类学术论文40多篇,其中SCI(SSCI)收录8篇。已主持并完成国家自然科学基金面上项目、青年项目各一项,安徽省自然科学基金、高校博士点基金各一项;目前正主持国家自然科学基金面上项目一项。

报告内容: This paper develops a quantile association regression model, which is able to capture the dynamic quantile dependence in the tails of conditional distributions. The association measure, the quantile-specific odds ratio (qor), captures the tendency of two random variables being simultaneously below specific quantiles. It is independent of marginal distributions and invariant to monotonic transformation, and enjoys methodological advantages over popular alternatives such as the copula. In the financial application, we implement the model and compute the qor on a daily basis to assess contagion for 10 stock markets during two recent crises. Our empirical results show that contagion exists during the US banking crisis between the US and all tested markets and between Greece and the tested European markets during the Euro crisis. Hence the model is able to capture the changes in quantile dependence between stock markets and offer a vivid description of market events. In addition, the model provides an accurate estimation of daily conditional value-at-risk (VaR).

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