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

17

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35

CROSSREF CITATIONS

13

Scholarly Papers (17)

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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), UBS Investment Bank and Shanghai University of Finance and Economics
Downloads 448 (104,356)

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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 195 (247,972)
Citation 8

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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

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 149 (312,529)
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

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 149 (312,529)

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

5.

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 123 (362,348)
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

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 90 (449,511)
Citation 2

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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.

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 78 (489,887)
Citation 4

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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

8.

Market Probability of Interest Rate Tick Movements

Number of pages: 43 Posted: 09 Aug 2022 Last Revised: 09 Sep 2022
Anxin Liu, Zhanyu Chen, Kai Zhang and Hongbiao Zhao
Shanghai University of Economics and Finance, London School of Economics & Political Science (LSE), UBS Investment Bank and Shanghai University of Finance and Economics
Downloads 75 (500,966)

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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

9.

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 67 (532,528)
Citation 2

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

10.

A Two-Phase Dynamic Contagion Model for COVID-19

Number of pages: 29 Posted: 16 Jun 2020
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 66 (536,762)
Citation 1

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

11.

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 61 (558,559)
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

12.

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 58 (572,369)
Citation 1

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

13.

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 53 (596,576)

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

14.

A Skellam Market Model for Loan Prime Rate Options

Journal of Futures Markets
Number of pages: 38 Posted: 10 May 2022
Zhanyu Chen, Kai Zhang and Hongbiao Zhao
London School of Economics & Political Science (LSE), UBS Investment Bank and Shanghai University of Finance and Economics
Downloads 44 (645,259)
Citation 1

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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

15.

Shot-Noise Cojumps: Exact Simulation and Option Pricing

Journal of the Operational Research Society, Forthcoming
Number of pages: 36 Posted: 01 Jun 2022
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 14 (867,241)

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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.

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 12 (885,512)

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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

17.

A Cox Model for Gradually Disappearing Events

Probability in the Engineering and Informational Sciences, 2021
Number of pages: 23 Posted: 09 Jun 2022
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 9 (912,900)

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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