Statistical inference for conditional expectile-based value-at-risk
报告人： 张飞鹏（西安交通大学)
时间：2024-11-28 15:10-17:00
地点：光华2号楼217
Abstract:
Since it is the only elicitable law-invariant coherent risk measure, the expectile-based value-at-risk (EVaR) is a recently recommended risk measure in financial risk management. This talk will study the statistical inference problem of conditional EVaR under two different regression models: one is the linear predictive regression, another is the threshold expectile regression. Their asymptotic properties are investigated. Their desirable finite sample performances are illustrated by numerical studies and two empirical applications to risk assessment.
About the Speaker:
张飞鹏，西安交通大学经济与金融学院教授、博士生导师。曾在美国宾夕法尼亚州立大学从事博士后研究，英国肯特大学、香港理工大学、香港浸会大学访问学者。主持国家自然科学基金项目、省自然科学基金项目、英国UKRI基金等多项科研项目。研究兴趣包括金融计量、风险度量与管理、复杂大数据统计分析，已在Nature Communications、Genome Research、Biometrics、Science China Mathematics，Technological Forecasting and Social Change、Energy Economics、数量经济技术经济研究、中国管理科学，以及机器学习国际顶级会议NeurIPS等发表论文50余篇。
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