时 间：2026-05-08 14:30 - 15:30
地 点：普陀校区理科大楼A1714
报告人：杨洋 南京审计大学教授
邀请人：李丹萍 华东师范大学教授
摘 要：
This paper studies multiple defaultable institutions from two distinct sectors that are exposed to a shared systematic risk factor and sector-specific common shock factors. While most existing studies focus on default losses within a single sector, we investigate the joint tail risk of two sectors under different factor dominance regimes and dependence structures. Specifically, we consider three scenarios in which defaults are driven primarily by the shared systematic risk factor, by the two sector-specific common shock factors, or jointly by all three factors. Under the limiting regime in which the reference default probability tends to zero, we analyze, for each scenario, the probability that default losses in an individual sector exceed a threshold, the conditional exceedance probability of default losses in one sector given a threshold exceedance in the other, and the expected loss in one sector given a threshold exceedance in the other. We also study the asymptotic behavior of value-at-risk and expected shortfall for the default loss of an individual sector. Across all three scenarios, we establish asymptotic equivalences, which show that the marginal exceedance probability decays to zero at a rate proportional to the reference default probability, whereas the conditional exceedance probability and the conditional expected loss across sectors converge to non-degenerate constants, with substantial variation across scenarios. These results imply that, although the probability of large losses in any single sector is small, it is not negligible conditional on large losses in the other sector.
报告人简介：
杨洋，博士，教授，博士生导师，现任南京审计大学数学学院院长。长期从事金融统计、风险管理与精算学、应用概率论等研究工作。先后主持国家自然科学基金面上项目2项和青年项目1项、国家社会科学基金一般项目1项、教育部人文社会科学基金规划项目和青年项目各1项、江苏省自然科学基金面上项目5项、江苏省高校自然科学基金重大项目3项、中国博士后科学基金特别资助项目1项和面上项目2项、江苏省优秀科技创新团队项目1项。先后访问美国University of Iowa、香港大学和立陶宛Vilnius University。发表高质量学术论文120余篇，其中SCI收录92篇，SSCI收录25篇，包括《European Journal of Operational Research》《Insurance: Mathematics and Economics》《Stochastic Processes and their Applications》《Journal of Applied Probability》《Journal of Theoretical Probability》《Scandinavian Actuarial Journal》《Astin Bulletin》《Extremes》《Journal of Applied Statistics》《中国科学》中英文版等。曾获得江苏省“333工程”培养对象、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“数学”重点建设学科负责人、江苏省“统计学”重点建设学科方向负责人等荣誉称号。