Hongbiao Zhao

Shanghai University of Finance and Economics

Associate Professor

No. 777 Guoding Road

Yangpu District

Shanghai, Shanghai 200433

China

http://hongbiaozhao.weebly.com/

London School of Economics & Political Science (LSE)

PhD Researcher

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS

693

SSRN CITATIONS
Rank 32,101

SSRN RANKINGS

Top 32,101

in Total Papers Citations

6

CROSSREF CITATIONS

13

Scholarly Papers (9)

1.

Exact Simulation of Hawkes Process with Exponentially Decaying Intensity

Electronic Communications in Probability, Vol. 18, No. 62, 2013
Number of pages: 15 Posted: 18 Jul 2013
Angelos Dassios and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 143 (204,939)
Citation 1

Abstract:

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Contagion risk, Stochastic intensity model, Self-exciting point process, Hawkes process, Hawkes process with exponentially decaying intensity, Exact simulation, Monte Carlo simulation

2.

Portfolio Credit Risk of Default and Spread Widening

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 19 Posted: 31 Aug 2011
Hongbiao Zhao
Shanghai University of Finance and Economics
Downloads 130 (221,223)

Abstract:

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Portfolio Credit Risk, Stress Test, Economic Capital, Default Risk, Spread Widening Risk, Copula

3.

A Dynamic Contagion Process and an Application to Credit Risk

Number of pages: 1 Posted: 15 Apr 2012
Hongbiao Zhao and Angelos Dassios
Shanghai University of Finance and Economics and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 98 (270,887)
Citation 4

Abstract:

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Dynamic contagion process, Cox process with shot noise intensity, piecewise-deterministic Markov process, cluster point process, self-exciting point process, Hawkes process

4.

A Dynamic Contagion Process

Advances in Applied Probability, Vol. 43, No. 3, 2011
Number of pages: 30 Posted: 19 Jan 2012 Last Revised: 15 Apr 2012
Angelos Dassios and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 89 (288,250)

Abstract:

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Dynamic contagion process, Cox process with shot noise intensity, piecewise-deterministic Markov process, cluster point process, self-exciting point process, Hawkes process

5.

A Generalised Contagion Process with an Application to Credit Risk

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 35 Posted: 06 Dec 2016
Angelos Dassios and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 69 (334,649)

Abstract:

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Credit risk, Contagion risk, Stochastic intensity model, Jump process, Point process, Self-exciting process, Hawkes process, Cox process, CIR process, Dynamic contagion process, Dynamic contagion process with diffusion

6.

A Risk Model with Renewal Shot-Noise Cox Process

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 06 Sep 2015 Last Revised: 08 Sep 2015
Angelos Dassios, Jiwook Jang and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics, Macquarie University and Shanghai University of Finance and Economics
Downloads 43 (416,444)

Abstract:

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Risk model, Ruin probability, Renewal shot-noise Cox process, Piecewise-deterministic Markov process, Martingale method, Monte Carlo simulation, Importance sampling, Change of probability measure, Rare-event simulation

7.

Ruin by Dynamic Contagion Claims

Insurance: Mathematics and Economics, Vol. 51, No. 1, pp. 93-106, July 2012
Number of pages: 35 Posted: 15 Apr 2012
Angelos Dassios and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 42 (420,265)
Citation 1

Abstract:

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Dynamic contagion process, Ruin probability, Generalised Lundberg’s fundamental

8.

A Risk Model with Delayed Claims

Journal of Applied Probability, Vol. 50, No. 3, 2013
Number of pages: 19 Posted: 09 Feb 2015
Angelos Dassios and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 40 (427,924)

Abstract:

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Delayed claims, Risk model, Ruin probability, Asymptotics, Generalised Cramer-Lundberg approximation, Non-homogeneous Poisson process

9.

A Markov Chain Model for Contagion

Risks, Vol. 2, No. 4, Page 434-455, 2014
Number of pages: 25 Posted: 06 Nov 2014
Angelos Dassios and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 39 (432,098)

Abstract:

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Risk model, Contagion risk, Bivariate point process, Markov chain model, Discretised dynamic contagion process, Dynamic contagion process