时 间：2024年4月30日 9:00-11:00
地 点：普陀校区理科大楼A1514
报告人：陆扬 加拿大蒙特利尔康考迪亚大学 助理教授
主持人：李丹萍 华东师范大学教授
摘 要：
We propose an original two-part, duration-severity approach to backtesting expected shortfall. From the daily probability integral transform of the return, we construct a sequence of durations counting the time elapsed between successive VaR violations, as well as a sequence of severities corresponding to the realized quantiles in case of a violation. Then the serial and mutual independence of the duration and severity sequences are tested using the theory of (bivariate) orthogonal polynomials. Our test includes as special cases unconditional coverage (UC) and conditional coverage (CC) backtests of both VaR and ES, allowing the risk manager to easily identify the mis-specified component(s) of the internal model in case of a rejection of the test. Our test can also be applied to other systemic risk measures, such as the marginal expected shortfall. Simulation experiments suggest that our test has good finite sample properties for realistic sample sizes. A case study illustrates the usefulness of the proposed test. This is a joint work with Christophe Hurlin (University of Orleans, France) and Sullivan Hue (Aix-Marseille University, France).
报告人简介：
现任加拿大蒙特利尔康考迪亚(Concordia)大学数学与统计系助理教授(2024年六月起任副教授)。在法国巴黎高等师范学校(Ecole Normale Superieure, Paris)获得数学本科和硕士。2015年在巴黎第九大学(Paris Dauphine University-PSL)拿到应用数学博士。2015至2017年在法国艾克斯马赛大学(Aix-Marseille)任博士后。2017年至2020年期间在巴黎第十三大学(Universite Sorbonne Paris Nord)经济系担任终生讲师(Maitre de conferences)。研究内容是保险精算和数理金融。曾在Management Science, Mathematical Finance, Journal of Risk and Insurance, Insurance: Mathematics and Economics, Scandinavian Actuarial Journal, Journal of Banking and Finance, Journal of Applied Econometrics, Electronic Journal of Statistics等杂志发表论文20余篇。