廈門大學王亞南經(jīng)濟研究院金融學老師：趙宏飆

發(fā)布時間：2021-10-09 編輯：考研派小莉推薦訪問：

廈門大學王亞南經(jīng)濟研究院金融學老師：趙宏飆內(nèi)容如下，更多考研資訊請關(guān)注我們網(wǎng)站的更新！敬請收藏本站，或下載我們的考研派APP和考研派微信公眾號（里面有非常多的免費考研資源可以領(lǐng)取，有各種考研問題，也可直接加我們網(wǎng)站上的研究生學姐微信，全程免費答疑，助各位考研一臂之力，爭取早日考上理想中的研究生院校。）

+廈門大學研究生
微信,為你答疑,送資源

廈門大學經(jīng)濟學院金融系導師：朱孟楠廈門大學經(jīng)濟學院金融系導師：鄭榮鳴廈門大學經(jīng)濟學院金融系導師：林寶清廈門大學經(jīng)濟學院金融系導師：陳蓉廈門大學經(jīng)濟學院金融系導師：鄭振龍廈門大學經(jīng)濟學院金融系導師：元惠萍 95%的同學還閱讀了： 廈門大學研究生招生目錄廈門大學研究生分數(shù)線廈門大學王牌專業(yè)排名廈門大學考研難嗎廈門大學考研調(diào)劑信息廈門大學研究生導師名單廈門大學研究生學費廈門大學研究生獎學金

廈門大學王亞南經(jīng)濟研究院金融學老師：趙宏飆正文

金融學助理教授
英國倫敦政治經(jīng)濟學院統(tǒng)計學(數(shù)理金融方向)博士
電話：
電子郵件：hongbiao.z(at)gmail.com
辦公室：經(jīng)濟樓D302
個人主頁：http://hongbiaozhao.weebly.com/

?個人簡介
Research Interests
Contagion risk in banking, finance, insurance and economics
Dependence structure modelling via copulas and point processes with contagion
Portfolio credit risk management and strategy: pricing, hedging, rating; interaction of market and credit risk; economic capital
Education
Department of Statistics, London School of Economics—U.K.
    PhD in Statistics (Mathematical Finance) 10/2008 - 10/2012
    – Thesis: "A Dynamic Contagion Process – Modelling Contagion Risk in Finance and Insurance"
        Advisor: Dr. Angelos Dassios
        Committee: Prof. Andreas Kyrprianou and Dr. Umut Cetin
Warwick Business School, University of Warwick—U.K.
    MSc in Financial Mathematics (Distinction) 9/2006 - 9/2007
    – Thesis: "Credit Risk Models and Implementation", Distinction, supervised by Prof. Anthony Neuberger and
        Prof. Stewart Hodges, sponsored by Paternoster
    – Modules: Stochastic Methods, Asset Pricing, Numerical Methods Matlab & C++, Time Series Analysis,
        Derivative Securities, Economic Analysis, Statistical Methods, Finance & VBA, Optimisation, etc.
   Department of Mathematics, Zhengzhou University—China
    BSc in Mathematics and Applied Mathematics (Top 5%) 9/2002 - 7/2006
Experience
National University of Singapore—Singapore
    Research Fellow at Risk Management Institute 11/2012-05/2013
    – Develop quantitative credit risk models for credit rating system and corporate default forecasts.
London School of Economics—London
    Teaching Assistant 10/2009-6/2011
    – Taught Class ST102 Elementary Statistical Theory for two groups of first-year undergraduates.
    – Ran Help Session ST202 Probability, Distribution Theory and Inference for second-year undergraduates.
    – Assistant examiner on statistics for the University of London International Programmes.
Paternoster (now Goldman Sachs)—London
    Investment Analyst (Quantitative) at Investment Strategy Group 6/2007-12/2008
    – Developed a robust stress-test model of portfolio credit risk based on stochastic processes, copulas and Monte
        Carlo simulation for economic capital required by FSA; achieved 2.22% (￡30 million) capital relief.
    – Calibrated and analyzed time series models on iBoxx/iTraxx datasets.
    – Analyzed recovery rates, Gilt/swap rates, default/liquidity risk premium, implied/historical default intensities.
    – Executed risk scenario analysis and loss distribution simulation for CDS and bespoke CDO.
    – Implemented quantitative trading strategy analysis: comparison between strategies of buy/hold and downgrade/sell.
    – Performed bootstrap historical simulation from Moody’s data to obtain default probabilities.
    – Built Paternoster’s Adjusted Credit Rating System based on spot-market yield data, which was presented to FSA chairman Lord Adair Turner on 15/5/2008 and received excellent comments.

?研究成果
Published Papers
"A Dynamic Contagion Process", with Angelos Dassios
    - Advances in Applied Probability, 43(3), 814-846, 2011
"Ruin by Dynamic Contagion Claims", with Angelos Dassios
   - Insurance: Mathematics and Economics, 51(1), 93-106, 2012
"Exact Simulation of Hawkes Process with Exponentially Decaying Intensity", with Angelos Dassios
    - Electronic Communications in Probability, 18(62), 1-13, 2013
"A Risk Model with Delayed Claims", with Angelos Dassios
    - Journal of Applied Probability, 50(3), 686-702, 2013
"A Markov Chain Model for Contagion", with Angelos Dassios
    - Risks, 2(4), 434-455, 2014
Working Papers
"Portfolio Credit Risk of Default and Spread Widening", 2011
    - awarded the First Prize of the Deutsche Bank Award in Financial Risk Management and Regulation, 2012
    - in Proceedings of Australasian Finance and Banking Conference, 2011

?研究項目
國家自然科學基金項目(71401147,管理科學部,2015-2017)

以上老師的信息來源于學校網(wǎng)站，如有更新或錯誤，請聯(lián)系我們進行更新或刪除，聯(lián)系方式

添加廈門大學學姐微信，或微信搜索公眾號“考研派小站”，關(guān)注[考研派小站]微信公眾號，在考研派小站微信號輸入[廈門大學考研分數(shù)線、廈門大學報錄比、廈門大學考研群、廈門大學學姐微信、廈門大學考研真題、廈門大學專業(yè)目錄、廈門大學排名、廈門大學保研、廈門大學公眾號、廈門大學研究生招生）]即可在手機上查看相對應廈門大學考研信息或資源。