周皓 紫光讲席教授
货币政策与金融稳定研究中心主任
中国 北京（100083）
清华大学五道口金融学院
电话：8610- 62790665
传真：8610- 62799557
Email: zhouh@pbcsf.tsinghua.edu.cn
Google Scholar Page
教育背景
1994-2000 美国杜克大学，经济学，博士学位
1989-1993 北京大学光华管理学院，管理学，硕士学位
1985-1989 北京大学，国际经济学，学士学位
工作经历
2013至今 清华大学五道口金融学院，紫光讲席教授
2006-2013 美国联邦储备委员会风险分析部，高级经济学家
2000-2006 美国联邦储备委员会交易风险分析部，经济学家
1999-2000 美国杜克大学经济系，讲师
1993-1994 中国国务院研究发展中心，顾问
1989-1990 中国广西省南丹县，行政官员
主要研究领域
以消费为基础的随机波动资产定价模型
信用风险的结构化模型与信用衍生品市场
金融市场波动性和收益的预测
消费期限结构模型与通货膨胀的不确定性
金融市场的跳跃性与资产定价之谜
国际风险溢价动态模型
金融机构的系统性风险和宏观审慎监管
讲授课程
资产定价之谜，金融市场和投资，计量经济学导论
学术兼职
2009年2月 技术顾问，国际清算银行（香港）
2007年 秋 访问教授，麻省理工学院斯隆管理学院
2005年9月 访问教授，北京大学中国经济研究中心
荣誉及奖项
1. “Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities,” with Tim Bollerslev and Mike Gibson, Whitebox Selected Research Best Financial Research Paper finalist, 2012.
2. “Predicting Stock Returns with Variance Risk Premia: Statistical Inference and International Evidence,” with Tim Bollerslev, James Marrone, and Lai Xu, China International Conference in Finance Best Paper Award, 2011.
3. “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” Crowell Memorial Prize 3rd Place by PanAgora Asset Management, 2010.
4. “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” Chicago Quantitative Alliance (CQA) Academic Competition Award 3rd Place, 2009.
5. “Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis,” with Xin Huang and Haibin Zhu, BankScope Best Paper Prize of the 22nd Australasian Finance and Banking Conference, 2009.
6. “Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou, Global Association of Risk Professionals (GARP) Research Proposal Award, 2009.
7. “Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou, Imperial College London Centre for Hedge Fund Research (CHFR) Research Proposal Award, 2009.
8. “A Framework for Assessing the Systemic Risk of Major Financial Institutions,” with Xin Huang and Haibin Zhu, Bocconi Centre for Applied Research in Finance (CAREFIN) Research Proposal Award, 2008.
9. “Short Course on Asset Pricing Puzzles,” China Center for Economic Research (CCER) of Peking University, Oversea Young Chinese Forum (OYCF) Gregory C. and Paula K. Chow Teaching Fellowship, 2005.
发表成果
期刊论文
1. “Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou, Journal of Banking and Finance, forthcoming, vol.37 (10), pages 3733-3746, 2013.
2. “Predicting Stock Returns with Variance Risk Premia: Statistical Inference and International Evidence,” with Tim Bollerslev, James Marrone, and Lai Xu, Journal of Financial and Quantitative Analysis, forthcoming, 2013.
3. “Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis,” with Xin Huang and Haibin Zhu, Journal of Financial Stability, vol. 8, pages 193-205, 2012.
4. “Systemic Risk Contributions,” with Xin Huang and Haibin Zhu, Journal of Financial Services Research, vol. 42, pages 55-83, 2012.
5. “Realized Jumps on Financial Markets and Predicting Credit Spreads,” with George Tauchen, Journal of Econometrics, vol. 160, pages 235-245, 2011.
6. “Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities,” with Tim Bollerslev and Mike Gibson, Journal of Econometrics, vol. 160, pages 102-118, 2011.
7. “Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms,” with Ben Zhang and Haibin Zhu, Review of Financial Studies, vol. 22, pages 5099-5131, 2009.
8. “Bond Risk Premia and Realized Jump Risk,” with Jonathan Wright, Journal of Banking and Finance, vol. 33, pages 2333-2345, 2009.
9. “A Framework for Assessing the Systemic Risk of Major Financial Institutions,” with Xin Huang and Haibin Zhu, Journal of Banking and Finance, vol. 33, pages 2036-2049, 2009.
10. “Expected Stock Returns and Variance Risk Premia,” with Tim Bollerslev and George Tauchen, Review of Financial Studies, vol. 22, pages 4463-4492, 2009.
11. “Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions,” with Tim Bollerslev, Journal of Econometrics, vol. 131, pages 123-150, 2006.
12. “Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle,” with Ravi Bansal and George Tauchen, Journal of Business and Economic Statistics, vol. 22, pages 396-409, 2004.
13. “Ito Conditional Moment Generator and the Estimation of Short Rate Processes,” Journal of Financial Econometrics, vol. 1, pages 250-271, 2003.
14. “Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility,” with Tim Bollerslev, Journal of Econometrics, vol. 109, pages 33-65, 2002.
15. “Term Structure of Interest Rates with Regime Shifts,” with Ravi Bansal, Journal of Finance, vol. 57, pages 1997-2043, 2002.
16. “Finite Sample Properties of EMM, GMM, QMLE, and MLE for a Square-Root Interest Rate Diffusion Model,” Journal of Computational Finance, vol. 2, pages 89-122, 2001.
17. “Rural-Urban Disparity and Sectoral Labor Allocation in China,” with Dennis Tao Yang, Journal of Development Studies, vol. 35, pages 105-133, 1999.
18.“Comment - Systemic Risks and the Macroeconomy,” by Gianni De Nicolò, Marcella Lucchetta, NBER Book Quantifying Systemic Risk, Joseph G. Haubrich and Andrew W. Lo editors, forthcoming.
19. “Comment - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes,” by Garland B. Durham and A. Ronald Gallant, Journal of Business and Economic Statistics, vol. 20, pages 332-335, 2002.
工作论文
1. “The Systemic Risk of European Banks during the Financial and Sovereign Debt Crises,” with Lamont Black, Ricardo Correa, and Xin Huang, Federal Reserve Board, 2012.
2. “Stock Return and Cash Flow Predictability: the Role of Volatility Risk,” with Tim Bollerslev and Lai Xu, Federal Reserve Board, 2012.
3. “Variance Risk Premiums and the Forward Premium Puzzles,” with Juan M. Londono, Federal Reserve Board, 2012.
4. “Ambiguity Aversion and Variance Premium,” with Jianjun Miao and Bin Wei, Federal Reserve Board, 2012.
5. “Risk, Uncertainty, and Expected Returns,” with Turan Bali, Federal Reserve Board, 2011.
6. “Short-Run Bond Risk Premia,” with Philippe Mueller and Andrea Vedolin, Federal Reserve Board, 2011.
7. “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” Working Paper, Federal Reserve Board, 2010.
8. “Specification Analysis of Structural Credit Risk Models,” with Jingzhi Huang, Working Paper, Federal Reserve Board, 2009.
9. “Effect of Liquidity on the Nondefault Component of Corporate Bond Spreads: Evidence from Intraday Transactions Data,” with Song Han, Federal Reserve Board, 2009.
学术期刊评审人
American Economic Review, Econometrica, Economic Theory, European Financial Management, International Journal of Central Banking, Finance Research Letters, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business and Economic Statistics, Journal of Credit Risk, Journal of Econometrics, Journal of Economic and Dynamic Control, Journal of Empirical Finance, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Econometrics, Journal of Financial Markets, Journal of Financial Stability, Journal of Futures Markets, Journal of International Money and Finance, Journal of Money, Credit, and Banking, Management Science, Pacific-Basin Finance Journal, Review of Financial Studies.
专业组织成员
AEA, AFA, 计量经济协会, WFA.
会议组织者
2012.6 新加坡国立大学 第六届风险管理年会 – Risk Management Responses to Rising Systematic and Systemic Risks
2008.3 阿姆斯特丹 巴塞尔银行监管委员会管理研究工作组会议 – Stress Testing of Credit Risk Portfolio: The Link between Macro and Micro, March 2008, Amsterdam
2007.3 华盛顿 美联储会议 – Credit Risk and Credit Derivatives
2005.7 华盛顿 美联储会议 – Financial Market Risk Premiums-Time Variations and Macroeconomic Links