#220 HanDan Road
Shanghai, Shanghai 200433
China
Fudan University - School of Data Science
Asymptotics, CoVaR, Quantile Regression, Systemic Risk
Insurance loss, Mixture models, EM algorithm, Gradient boosting, Parallel computation, Finite mixture of regressions, Zero-inflated Poisson model.
extreme value theory, expected shortfall regression, heteroscedastic extremes, tail risk
Risk Spillover, CoVaR, RELTCoV, Kernel Estimation
PELVE, ARMA-GARCH Model, Block-Bootstrap
Hill estimator, heavy tail, random weighted bootstrap, tail dependence, Value-at-Risk
