Xing Yan

City University of Hong Kong

Hong Kong

SCHOLARLY PAPERS

5

DOWNLOADS

253

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Capturing Deep Tail Risk via Sequential Learning of Quantile Dynamics

Journal of Economic Dynamics and Control, 2019, 109: 103771
Number of pages: 33 Posted: 13 Jun 2019 Last Revised: 13 Jan 2020
Qi Wu and Xing Yan
City University of Hong Kong, School of Data Science and City University of Hong Kong
Downloads 150 (251,838)
Citation 2

Abstract:

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Dynamic Quantile Modeling, Parametric Quantile Functions, Time-varying Higher-order Conditional Moments, Asymmetric Heavy-tail Distribution, Long Short-term Memory, Machine Learning, Neural Network, VaR Forecasts, Financial Risk Management

2.

Cross-sectional Learning of Extremal Dependence Among Financial Assets

Advances in Neural Information Processing Systems, pages 3852-3862, 2019
Number of pages: 11 Posted: 13 Jun 2019 Last Revised: 13 Jan 2020
Xing Yan, Qi Wu and Wen Zhang
City University of Hong Kong, City University of Hong Kong, School of Data Science and Independent
Downloads 103 (332,125)
Citation 1

Abstract:

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Tail Dependence, Distinct Pairwise Tail Dependencies, Random Vector Transformation, Tail-side Sensitivity, Coverage Test

3.

The Causal Learning of Retail Delinquency

Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI-21)
Posted: 01 Mar 2021
City University of Hong Kong (CityU) - School of Data Science, City University of Hong Kong (CityU) - School of Data Science, City University of Hong Kong, City University of Hong Kong, School of Data Science, affiliation not provided to SSRN, JD Digits and JD Digits

Abstract:

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4.

Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning

Advances in Neural Information Processing Systems 31 (NeurIPS 2018)
Posted: 01 Mar 2021
City University of Hong Kong, Tecent AI Lab, Tecent AI Lab, affiliation not provided to SSRN and City University of Hong Kong, School of Data Science

Abstract:

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5.

Risk and return prediction for pricing portfolios of non-performing consumer credit

2021 ACM International Conference on AI in Finance (ICAIF'21)
Number of pages: 9
City University of Hong Kong (CityU) - School of Data Science, City University of Hong Kong, JD Digits, JD Digits, Renmin University of China - School of Statistics, affiliation not provided to SSRN and City University of Hong Kong, School of Data Science
Downloads 0

Abstract:

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consumer lending, credit portfolio risk, overdue loans, bottom-up system, dependence structure