Xin Huang

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

7

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Top 2,656

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99

CROSSREF CITATIONS

320

Scholarly Papers (7)

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Journal of Banking and Finance, Vol. 33, No. 11, pp. 2036–2049, November 2009, BIS Working Paper No. 281, PBCSF-NIFR Research Paper No. 08-01
Number of pages: 44 Posted: 01 Feb 2009 Last Revised: 31 Aug 2016
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,592 (11,090)
Citation 7

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Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data

A Framework for Assessing the Systemic Risk of Major Financial Institutions

BIS Working Paper No. 281
Number of pages: 44 Posted: 10 Aug 2009
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 88 (304,754)
Citation 12

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Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data

A Framework for Assessing the Systemic Risk of Major Financial Institutions

CAREFIN Research Paper No. 11/08
Posted: 22 Mar 2009 Last Revised: 17 Jan 2016
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)

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Stress testing, systemic risk, insurance premium, default probability, credit default swap spread, high-frequency data, asset return correlation

2.

Systemic Risk Contributions

Number of pages: 44 Posted: 29 Jul 2010 Last Revised: 29 Oct 2011
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 947 (24,820)
Citation 26

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Distress Insurance Premium, Systemic Risk, Macroprudential Regulation, Large Complex Financial Institution, Too-Big-to-Fail, Too-Connected-to-Fail.

3.

Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis

22nd Australasian Finance and Banking Conference 2009, Finlawmetrics 2010 Conference Paper
Number of pages: 45 Posted: 23 Aug 2009 Last Revised: 29 Oct 2011
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 536 (53,736)
Citation 18

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Systemic risk, Macroprudential regulation, Portfolio distress loss, Credit default swap, Dynamic conditional correlation

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

Number of pages: 52 Posted: 28 Nov 2012
DePaul University - Driehaus College of Business, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 315 (100,273)
Citation 7

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European debt crisis, macroprudential regulation, banking systemic risk, credit default swap, too-big-to-fail, interconnectedness, leverage

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

FRB International Finance Discussion Paper No. 1083
Number of pages: 60 Posted: 30 May 2017
DePaul University - Driehaus College of Business, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 183 (174,141)
Citation 1

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banking systemic risk, European debt crisis, too-big-to-fail, leverage, interconnectedness, credit default swap, macroprudential regulation

The Relative Contribution of Jumps to Total Price Variance

Number of pages: 60 Posted: 24 Aug 2005
Xin Huang and George Tauchen
Board of Governors of the Federal Reserve System and Duke University - Economics Group
Downloads 416 (72,742)
Citation 60

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Realized variance, quadratic variation, bipower variation, stochastic volatility

The Relative Contribution of Jumps to Total Price Variance

Journal of Financial Econometrics, Vol. , pp. -,
Posted: 29 Feb 2008
Xin Huang and George Tauchen
Board of Governors of the Federal Reserve System and Duke University - Economics Group

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bipower variation, quadratic variation, realized variance, stochastic volatility

6.

A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures

Journal of Econometrics, Vol. 160, Issue 1, pp. 176-189, January 2011, CREATES Research Paper 2007-14
Number of pages: 31 Posted: 23 Jun 2008 Last Revised: 07 Jan 2012
Northwestern University - Kellogg School of Management, Duke University - Finance and Board of Governors of the Federal Reserve System
Downloads 317 (100,150)
Citation 5

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Stochastic Volatility, Realized Variation, Bipower Variation, Jumps, Hazard Rates, Overnight Volatility

7.

Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps

FEDS Working Paper No. 2015-97
Number of pages: 54 Posted: 13 Nov 2015
Xin Huang
Board of Governors of the Federal Reserve System
Downloads 110 (260,628)

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Macroeconomic news announcements, realized variance, jumps, disagreement and uncertainty, economic derivatives, financial systemic risk