金融学助理教授
英国伦敦政治经济学院统计学(数理金融方向)博士
电话：
电子邮件：hongbiao.z(at)gmail.com
办公室：经济楼D302
个人主页：http://hongbiaozhao.weebly.com/
►个人简介
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
►研究项目
国家自然科学基金项目(71401147,管理科学部,2015-2017)