Changhao Zhang

GIC Private Limited

168 Robinson Road #37-01

Singapore, Singapore 068912

Singapore

SCHOLARLY PAPERS

3

DOWNLOADS

366

CITATIONS

1

Scholarly Papers (3)

1.

Cascading Defaults and Systemic Risk of a Banking Network

Number of pages: 41 Posted: 13 Jun 2013 Last Revised: 09 Nov 2013
Jin-Chuan Duan and Changhao Zhang
National University of Singapore (NUS) - Business School and Risk Management Institute and GIC Private Limited
Downloads 221 (129,431)

Abstract:

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systematic risk, systemic exposure, systemic fragility, credit risk, operational risk, netting, stress testing, bridge sampling, SIFI

2.

Global Systemically Important Financial Institutions: A Structural VAR Approach

Number of pages: 67 Posted: 12 Apr 2016 Last Revised: 13 Dec 2017
Changhao Zhang
GIC Private Limited
Downloads 75 (297,894)

Abstract:

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systemic importance, systemic risk, simultaneity, factor model, structural identication, Basel, big data

3.

Non-Gaussian Bridge Sampling with an Application

Number of pages: 30 Posted: 19 Oct 2015 Last Revised: 29 Oct 2015
Jin-Chuan Duan and Changhao Zhang
National University of Singapore (NUS) - Business School and Risk Management Institute and GIC Private Limited
Downloads 70 (309,699)
Citation 1

Abstract:

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sequential Monte Carlo, density tempering, Metropolis-Hastings, GARCH, systemic risk, infill estimation