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)

Research fellow

Houghton Street

London, WC2A 2AE

United Kingdom

  • Shanghai University of Finance and Economics

SCHOLARLY PAPERS

19

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40

Scholarly Papers (19)

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1.

Loan Prime Rate Options

Number of pages: 36 Posted: 12 Jun 2020 Last Revised: 04 Aug 2020
Zhanyu Chen, Kai Zhang and Hongbiao Zhao
London School of Economics & Political Science (LSE), JPMorgan Chase & Co and Shanghai University of Finance and Economics
Downloads 526 (109,268)

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Loan prime rate (LPR); Loan prime rate option; Skellam market model; Implied intensity; Intensity smile; Intensity frown; Intensity skew; China's markets

2.

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 263 (236,708)
Citation 12

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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

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 183 (334,324)
Citation 8

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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.

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 175 (347,841)

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

5.

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 169 (358,660)
Citation 1

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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

6.

A Generalised Contagion Process with an Application to Credit Risk

International Journal of Theoretical and Applied Finance
Number of pages: 35 Posted: 06 Dec 2016 Last Revised: 11 May 2022
Angelos Dassios and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 120 (472,701)
Citation 3

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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

7.

Securitization of Assets with Payment Delay Risk: A Financial Innovation in the Real Estate Market

Downloads 26 (525,397)

Securitization of Assets with Payment Delay Risk: A Financial Innovation in the Real Estate Market

Journal of Futures Markets, 43(4), 480-515, 2023​
Number of pages: 76 Posted: 02 Aug 2023
Chao Ma, Hao Hao and Hongbiao Zhao
WISE & SOE, Xiamen University, Guangzhou Rongshan Information Technology Co., Ltd. and Shanghai University of Finance and Economics
Downloads 26 (1,012,312)

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Securitization, Delay risk, Mortgage receivable, Banking, Real estate, Adverse selection, Financial innovation

8.

Efficient Simulation of Clustering Jumps with CIR Intensity

Operations Research, 65(6), 1494-1515, 2017
Number of pages: 40 Posted: 30 Jan 2018
Angelos Dassios and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 101 (536,250)
Citation 8

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contagion risk, jump clustering, stochastic intensity model, self-exciting point process, self-exciting point process with CIR intensity, Hawkes process, CIR process, square-root process, exact simulation, Monte Carlo simulation, portfolio risk

9.

A Skellam Market Model for Loan Prime Rate Options

Journal of Futures Markets, 42(3), 525-551, 2022​​
Number of pages: 38 Posted: 10 May 2022 Last Revised: 28 Jul 2023
Zhanyu Chen, Kai Zhang and Hongbiao Zhao
London School of Economics & Political Science (LSE), JPMorgan Chase & Co and Shanghai University of Finance and Economics
Downloads 82 (610,781)

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Loan prime rate (LPR), Loan prime rate option, Skellam market model, Implied intensity, Intensity smile, Intensity frown, Intensity skew, Prescheduled macroeconomic announcements, China's markets

10.

A Two-Phase Dynamic Contagion Model for COVID-19

Results in Physics, 26, 104264, July​, 2021
Number of pages: 29 Posted: 16 Jun 2020 Last Revised: 27 Jul 2023
Zezhun Chen, Angelos Dassios, Valerie Kuan, Jia Wei Lim, Yan Qu, Budhi Surya and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics, London School of Economics & Political Science (LSE) - Department of Statistics, University College London, Brunel University London, University of Warwick - Department of Statistics, Victoria University of Wellington and Shanghai University of Finance and Economics
Downloads 82 (610,781)
Citation 1

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COVID-19; SARS-CoV-2; Coronavirus; Stochastic intensity model; Stochastic epidemic model; Two-phase dynamic contagion process

11.

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 81 (615,091)
Citation 2

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

12.

A Risk Model with Renewal Shot-Noise Cox Process

Insurance: Mathematics and Economics, 65, 55-65, 2015
Number of pages: 26 Posted: 06 Sep 2015 Last Revised: 27 Jul 2023
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 74 (646,354)
Citation 1

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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

13.

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 68 (675,550)
Citation 1

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

14.

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 62 (707,406)

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

15.

Shot-Noise Cojumps: Exact Simulation and Option Pricing

Journal of the Operational Research Society, 74(3), 647-665​, 2023
Number of pages: 36 Posted: 01 Jun 2022 Last Revised: 28 Jul 2023
Yan Qu, Angelos Dassios and Hongbiao Zhao
University of Warwick - Department of Statistics, London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 48 (793,916)
Citation 1

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Exact simulation, Monte Carlo simulation, Jump-diffusion models, Stochastic volatility models, Shot-noise process, Contemporaneous jumps, Cojumps, Shot-noise cojumps, Option pricing, Systemic risk

16.

Efficient Simulation of Lévy-driven Point Processes

Advances in Applied Probability, 51(4), 927-966, 2019
Number of pages: 50 Posted: 01 Aug 2023
Yan Qu, Angelos Dassios and Hongbiao Zhao
University of Warwick - Department of Statistics, London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 26 (982,947)

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Contagion risk, Portfolio risk management, Monte Carlo simulation, Exact simulation, Exact decomposition, Self-exciting jump process with non-Gaussian Ornstein-Uhlenbeck intensity, Point process, Branching process, Stochastic intensity model, Non-Gaussian Ornstein-Uhlenbeck process,

17.

A Cox Model for Gradually Disappearing Events

Probability in the Engineering and Informational Sciences, 37(1), 214-231, 2023​
Number of pages: 23 Posted: 09 Jun 2022 Last Revised: 27 Jul 2023
Jiwook Jang, Yan Qu, Hongbiao Zhao and Angelos Dassios
Macquarie University, University of Warwick - Department of Statistics, Shanghai University of Finance and Economics and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 21 (1,038,491)

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Point process, Cox process, Cox process with piecewise-constant decreasing intensity, gradually disappearing events, survival probability, competing risks, stop-loss reinsurance

18.

Exact Simulation for a Class of Tempered Stable and Related Distributions

ACM Transactions on Modeling and Computer Simulation
Number of pages: 27 Posted: 30 Jan 2018 Last Revised: 20 May 2020
Angelos Dassios, Yan Qu and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics, University of Warwick - Department of Statistics and Shanghai University of Finance and Economics
Downloads 21 (1,038,491)
Citation 2

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Monte Carlo Simulation, Exact Simulation, Backward Recursive Scheme, Stable Distribution, Tempered Stable Distribution; Exponentially Tilted Stable Distribution, L'evy Process, L'evy Subordinator, Leptokurtosis

19.

Market Probability of Interest Rate Tick Movements

Journal of Derivatives, 2025
Posted: 09 Aug 2022 Last Revised: 22 Sep 2024
Anxin Liu, Zhanyu Chen, Kai Zhang and Hongbiao Zhao
Shanghai University of Economics and Finance, London School of Economics & Political Science (LSE), JPMorgan Chase & Co and Shanghai University of Finance and Economics

Abstract:

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Policy rate, China's markets, Loan prime rate (LPR), Loan prime rate option, Delta negative binomial models, Delta negative binomial (DNB) distribution, Risk-neutral probability mass distribution, Incomplete market, Optimal martingale measure, Minimal entropy measure, Convexity adjustment