Chen Zhou

De Nederlandsche Bank

PO Box 98

1000 AB Amsterdam

Amsterdam, 1000 AB

Netherlands

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

  • De Nederlandsche Bank

  • Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

SCHOLARLY PAPERS

27

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149

Scholarly Papers (27)

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1.

Are Banks Too Big To Fail? Measuring Systemic Importance of Financial Institutions

Number of pages: 40 Posted: 04 Feb 2010
Chen Zhou
De Nederlandsche Bank
Downloads 3,246 (7,976)
Citation 50

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too big to fail, systemic risk, systemic importance, multivariate extreme value theory

2.

Why Risk Is So Hard to Measure

De Nederlandsche Bank Working Paper No. 494
Number of pages: 29 Posted: 23 Apr 2015 Last Revised: 01 Jul 2016
Jon Danielsson and Chen Zhou
London School of Economics - Systemic Risk Centre and De Nederlandsche Bank
Downloads 1,720 (21,856)
Citation 7

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Value-at-Risk, expected shortfall, finite sample properties, Basel III

3.

'Too Big to Fail' or 'Too Non-Traditional to Fail'?: The Determinants of Banks' Systemic Importance

Downloads 261 (91,048)
Citation 2

Identifying Systemically Important Financial Institutions: Size and Other Determinants

De Nederlandsche Bank Working Paper No. 347
Number of pages: 39 Posted: 12 Jul 2012 Last Revised: 19 Oct 2012
Kyle Moore and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and De Nederlandsche Bank
Downloads 261 (244,055)
Citation 2

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4.

Systematic Tail Risk

De Nederlandsche Bank Working Paper No. 400
Number of pages: 46 Posted: 14 Dec 2013
Maarten R.C. van Oordt and Chen Zhou
VU University Amsterdam and De Nederlandsche Bank
Downloads 606 (94,116)
Citation 19

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Tail beta, systematic risk, asset pricing, Extreme Value Theory, risk management

5.

Systemic Risk and Bank Business Models

De Nederlandsche Bank Working Paper No. 442
Number of pages: 41 Posted: 14 Oct 2014 Last Revised: 11 Nov 2014
Maarten R.C. van Oordt and Chen Zhou
VU University Amsterdam and De Nederlandsche Bank
Downloads 501 (119,278)
Citation 11

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financial institutions, financial stability, tail risk, macroprudential regulation, non-interest income

6.

Estimation of the Marginal Expected Shortfall: The Mean When a Related Variable is Extreme

CentER Discussion Paper Series No. 2012-080
Number of pages: 28 Posted: 27 Sep 2012
Juan-Juan Cai, John H. J. Einmahl, Laurens de Haan and Chen Zhou
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Department of Econometrics & Operations Research, Erasmus University Rotterdam (EUR) - Department of Econometrics and De Nederlandsche Bank
Downloads 409 (151,699)
Citation 8

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asymptotic normality, extreme values, tail dependence

7.

Systematic Risk Under Extremely Adverse Market Conditions

De Nederlandsche Bank Working Paper No. 281
Number of pages: 41 Posted: 07 Mar 2011 Last Revised: 06 Jan 2012
Maarten R.C. van Oordt and Chen Zhou
VU University Amsterdam and De Nederlandsche Bank
Downloads 326 (194,720)
Citation 8

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Tail Regression Beta, Downside Risk, Extreme Value Theory, Tail Dependence, Risk Management

8.

Why Micro-Prudential Regulation Fails? The Impact on Systemic Risk by Imposing a Capital Requirement

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 29 Posted: 16 Mar 2010 Last Revised: 12 Oct 2011
Chen Zhou
De Nederlandsche Bank
Downloads 324 (195,947)
Citation 3

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Banking regulation, systemic risk, capital requirement; macro-prudential regulation

9.

Can Financial Openness Help Avoid Currency Crises?

Number of pages: 48 Posted: 23 Jan 2009 Last Revised: 06 Oct 2011
Gus Garita and Chen Zhou
The Bank of Korea and De Nederlandsche Bank
Downloads 315 (201,931)
Citation 2

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Systemic Crisis, Systemic Impact, Exchange Market Pressure, Extreme Value Theory, Financial Openness

10.

Why the Micro-Prudential Regulation Fails? The Impact on Systemic Risk by Imposing a Capital Requirement

De Nederlandsche Bank Working Paper No. 256
Number of pages: 42 Posted: 25 Oct 2011
Chen Zhou
De Nederlandsche Bank
Downloads 280 (228,664)
Citation 4

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banking regulation, systemic risk, capital requirement, macro-prudential regulation

11.

Deflation Risk in the Euro Area and Central Bank Credibility

De Nederlandsche Bank Working Paper No. 509
Number of pages: 29 Posted: 07 Apr 2016
Gabriele Galati, Zion Gorgi, Richhild Moessner and Chen Zhou
De Nederlandsche Bank, De Nederlandsche Bank, Bank for International Settlements (BIS) and De Nederlandsche Bank
Downloads 202 (314,805)
Citation 9

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Deflation, inflation expectations, monetary policy, financial crisis

12.

Value-at-Risk Prediction Using Option-Implied Risk Measures

De Nederlandsche Bank Working Paper No. 613
Number of pages: 46 Posted: 14 Nov 2018
Kai Schindelhauer and Chen Zhou
De Nederlandsche Bank and De Nederlandsche Bank
Downloads 187 (337,937)
Citation 1

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Implied Quantile, GARCH, Quantile Regression, Comparative Backtest

13.

The Cross-Section of Tail Risks in Stock Returns

Number of pages: 23 Posted: 27 Mar 2013
Kyle Moore, Pengfei Sun, Casper G. de Vries and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and De Nederlandsche Bank
Downloads 185 (341,317)
Citation 6

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Heavy-tail distribution, safety-first utility, asset pricing

14.

The Simple Econometrics of Tail Dependence

De Nederlandsche Bank Working Paper No. 296
Number of pages: 19 Posted: 31 Oct 2011
Maarten R.C. van Oordt and Chen Zhou
VU University Amsterdam and De Nederlandsche Bank
Downloads 174 (360,429)
Citation 1

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Tail dependence, Regression analysis, Extreme Value Theory, Systemic risk

15.

The Power of Weather

Downloads 108 (366,026)

The Power of Weather

Number of pages: 27 Posted: 13 Feb 2009
Francesco Ravazzolo, Christian Huurman and Chen Zhou
Free University of Bozen-Bolzano - Faculty of Economics and Management, Financial Engineering Associates and De Nederlandsche Bank
Downloads 108 (532,005)

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Electricity prices, GARCH models, weather forecasts, point and density forecasts

16.

Dependence Structure of Risk Factors and Diversification Effects

22nd Australasian Finance and Banking Conference 2009
Number of pages: 31 Posted: 18 Aug 2009
Chen Zhou
De Nederlandsche Bank
Downloads 150 (409,199)
Citation 4

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Aggregated risk, diversification effect, multivariate Extreme Value Theory

17.

Systemic Risk of European Banks: Regulators and Markets

De Nederlandsche Bank Working Paper No. 478
Number of pages: 26 Posted: 23 Jul 2015
Maarten R.C. van Oordt and Chen Zhou
VU University Amsterdam and De Nederlandsche Bank
Downloads 148 (413,713)
Citation 1

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G-SIBs, financial stability, macroprudential regulation, systemic importance

18.

Statistics of Heteroscedastic Extremes

CentER Discussion Paper Series No. 2014-015
Number of pages: 25 Posted: 19 Feb 2014
John H. J. Einmahl, Laurens de Haan and Chen Zhou
Tilburg University - Department of Econometrics & Operations Research, Erasmus University Rotterdam (EUR) - Department of Econometrics and De Nederlandsche Bank
Downloads 122 (481,943)
Citation 6

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Extreme value statistics, functional limit theorems, scale

19.

Outlier Detection in TARGET2 Risk Indicators

De Nederlandsche Bank Working Paper No. 624, January 2019
Number of pages: 29 Posted: 12 Feb 2019
Ronald Heijmans and Chen Zhou
De Nederlandsche Bank and De Nederlandsche Bank
Downloads 118 (494,273)
Citation 1

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risk indicator, TARGET2, financial market infrastructure, extrem value theory (EVT), local outlier factor (LOF), anomaly

20.

Entropy-Based Implied Moments

De Nederlandsche Bank Working Paper No. 581
Number of pages: 54 Posted: 29 Dec 2017
Xiao Xiao and Chen Zhou
University of Cambridge - Cambridge Judge Business School and De Nederlandsche Bank
Downloads 105 (539,051)

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Option Pricing, Risk Neutral Distribution, Higher Order Moments

21.

The Extent of Internet Auction Markets

Tinbergen Institute Discussion Paper No. 08-041/2
Number of pages: 31 Posted: 22 Apr 2008
Laurens de Haan, Casper G. de Vries and Chen Zhou
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and De Nederlandsche Bank
Downloads 88 (605,163)
Citation 3

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bids as records, number of active bidders

22.

Spatial Dependence and Space-Time Trends in Extreme Events

CentER Discussion Paper Nr. 2020-009
Number of pages: 26 Posted: 17 Apr 2020
John H. J. Einmahl, Ana Ferreira, Laurens de Haan, Claudia Neves and Chen Zhou
Tilburg University - Department of Econometrics & Operations Research, affiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Department of Econometrics, University of Reading and De Nederlandsche Bank
Downloads 86 (613,789)

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Multivariate extreme value statistics, non-identical distributions, sequential tail empirical process, testing

23.

Have Market Views on the Sustainability of Fiscal Burdens Influenced Monetary Authorities' Credibility?

De Nederlandsche Bank Working Paper No. 304
Number of pages: 40 Posted: 31 Oct 2011
Gabriele Galati, John Lewis, Steven Poelhekke and Chen Zhou
De Nederlandsche Bank, De Nederlandsche Bank - Econometric Research and Special Studies, University of Auckland and De Nederlandsche Bank
Downloads 66 (709,964)
Citation 1

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fiscal policy, monetary policy, inflation and inflation compensation, anchors for expectations, crisis

24.

Testing the Multivariate Regular Variation Model

CentER Discussion Paper Series No. 2018-044
Number of pages: 25 Posted: 19 Nov 2018
John H. J. Einmahl, Fan Yang and Chen Zhou
Tilburg University - Department of Econometrics & Operations Research, University of Waterloo - Department of Statistics and Actuarial Science and De Nederlandsche Bank
Downloads 57 (763,514)
Citation 1

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Extreme value statistics; Hill estimator; local empirical process

25.

Looking at the Tail: Price-Based Measures of Systemic Importance

BIS Quarterly Review, June 2013
Number of pages: 15 Posted: 28 Apr 2014
Chen Zhou and Nikola A. Tarashev
De Nederlandsche Bank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 46 (841,655)
Citation 1

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26.

Systemic Risk Allocation Using the Asymptotic Marginal Expected Shortfall

Journal of Banking and Finance, Vol. 126, No. 106099, 2021
Posted: 06 Sep 2022 Last Revised: 21 Sep 2022
Xiao Qin and Chen Zhou
Shanghai Jiao Tong University (SJTU) and De Nederlandsche Bank

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Asymptotic marginal expected shortfall; Systemically important financial institutions; Multivariate extreme value theory

27.

Systemic Risk Allocation for Systems with a Small Number of Banks

De Nederlandsche Bank Working Paper No. 378
Posted: 23 May 2013 Last Revised: 21 Sep 2022
Xiao Qin and Chen Zhou
Shanghai Jiao Tong University (SJTU) and De Nederlandsche Bank

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Systemic risk allocation, marginal expected shortfall, systemically important financial institutions, extreme value theory

Other Papers (1)

Total Downloads: 71
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1.

Option Implied Risk Measures: A Maximum Entropy Approach

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 37 Posted: 22 Aug 2014
Xiao Xiao and Chen Zhou
University of Cambridge - Cambridge Judge Business School and De Nederlandsche Bank
Downloads 71

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volatility, skewness, kurtosis, nonparametric estimation, risk neutral distribution