彩神8app在线登录新金融论坛第19期

日期:2018-10-16阅读:1842

主  题:Risk Management Under Noisy Observations 

时  间:2018年10月17日(周三)上午10:00—11:30

  点:浙大玉泉校区外经贸楼418室

报告人:宋晓军 

主持人:曾涛

主办方:彩神8app在线登录经济学院

     彩神8app在线登录工程师学院互联网金融分院

协办方:彩神8app在线登录金融研究院


报告人介绍:

宋晓军北京大学光华管理学院商务统计与经济计量系助理教授,西班牙马德里卡洛斯三世大学经济学博士。主要研究兴趣是理论计量经济学,包括非参数,半参数方法,假设检验和自助法,以及计量经济学的应用等。宋老师已经在国际顶尖期刊Journal of Econometrics, Journal of Business & Economic Statistics上发表了多篇文章。


Abstract

We provide an estimation of the Value-at-Risk and Expected Shortfall that captures the effects of market microstructure noise on a latent portfolio return. It is well known that noise can cause serious problems in estimating risk. Using a deconvolution kernel estimator for the conditional probability distribution function of the unobserved portfolio return, we propose an analytical approximation for conditional Value-at-Risk (VaR) and a closed-form solution for conditional Expected Shortfall(ES). We investigate in both simulation experiments and an empirical application the performance of our proposed implementation.

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