报告人:杨 洋（南京审计大学）

时  间:2018年 11月24日 上午9:00--10:00

地  点:理科楼 LD402

摘  要: System risk is considered as the risk of collapse of an entire financial system, which has played a significant role in explaining the recent financial turmoils from the insurance and financial industries. Although there exists a very large number of systemic risk measures in the literature on the Systemic risk (SR), the more simple SR definition from Acharya et al. (2012) is chosen to be discussed. We consider the tail behavior of the Systemic risk (SR) for portfolio losses. We generalize the model to allow for heavy-tailed distribution of risk factors, which are equipped with a wide type of dependence structure. For various important cases, asymptotic formulas for the SR are derived. This risk model provides an ideal framework for modeling both heavy tails and dependence. As an extension, simulation experiments are conducted, comparing the asymptotic formulas with the traditional empirical estimates, which show that our approach is superior to a copula-based approach.

报告人简介:杨洋教授、博士，硕士生导师。现任南京审计大学统计与数学学院统计学系主任，西交利物浦大学名誉教授，江苏省概率统计学会副理事长，中国工程概率统计学会常务理事，全国工业统计学教学研究会理事。江苏省“333工程”中青年学术带头人、江苏省“六大人才高峰”高层次人才、江苏省“青蓝工程”中青年学术带头人、江苏省“十三五”重点建设学科（数学）负责人、江苏省“经济统计”重点专业负责人。 曾赴美国University of Iowa、立陶宛Vilnius University、香港大学学术访问。现从事金融统计、保险精算、风险管理和应用概率论等研究工作。先后主持国家自然科学基金2项，省部级项目4项，江苏省高校重大项目1项，江苏省优秀科技创新团队项目1项，中国博士后科学基金特别资助1项、一般资助2项，发表高质量学术论文90余篇，其中SCI、SSCI收录60余篇，出版学术专著2部。曾获浙江省自然科学奖三等奖，江苏省统计科研优秀成果奖二、三等奖，江苏省工业与应用数学奖青年奖等。

公司联系人:张志民 刘朝林

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