Xianhua Peng

Hong Kong University of Science & Technology (HKUST) - Department of Mathematics

Rm. 3461, Lift 25-26

Clear Water Bay

Kowloon

Hong Kong

SCHOLARLY PAPERS

4

DOWNLOADS

435

CITATIONS
Rank 45,334

SSRN RANKINGS

Top 45,334

in Total Papers Citations

3

Scholarly Papers (4)

1.

External Risk Measures and Basel Accords

Kou, S. G., Peng, X., Heyde, C. C., 2013. Mathematics of Operations Research 38 (3), 393-417.
Number of pages: 27 Posted: 12 May 2012 Last Revised: 03 Aug 2013
Steven Kou, Xianhua Peng and Chris Heyde
Risk Management Institute, NUS, Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Columbia University (Deceased)
Downloads 160 (140,466)
Citation 3

Abstract:

financial regulation, capital requirements, risk measure, scenario analysis, robustness, value-at-risk, expected shortfall, tail conditional expectation

2.

On the Measurement of Economic Tail Risk

Number of pages: 51 Posted: 21 Jan 2014 Last Revised: 17 Aug 2015
Steven Kou and Xianhua Peng
Risk Management Institute, NUS and Hong Kong University of Science & Technology (HKUST) - Department of Mathematics
Downloads 85 (144,009)

Abstract:

comonotonic independence, Choquet integral, elicitability, robustness, model uncertainty, value-at-risk, median shortfall, backtest

3.

EM Algorithm and Stochastic Control in Economics

Number of pages: 46 Posted: 07 Nov 2016
Steven Kou, Xianhua Peng and Xingbo Xu
Risk Management Institute, NUS, Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 0 (362,586)

Abstract:

EM algorithm, stochastic control, recursive model, dynamic programming, monopoly pricing, real business cycle, numerical methods, stochastic approximation

4.

Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value-at-Risk

Number of pages: 25 Posted: 06 Sep 2016 Last Revised: 19 Jul 2017
Xue Dong He and Xianhua Peng
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Hong Kong University of Science & Technology (HKUST) - Department of Mathematics
Downloads 0 (362,586)

Abstract:

Capital Adequacy Tests; Value-At-Risk; Surplus-Invariance; Conicity, Positive Homogeneity; Numeraire-Invariance