廈門大學(xué)王亞南經(jīng)濟(jì)研究院金融學(xué)老師：趙宏飆 正文

金融學(xué)助理教授
英國(guó)倫敦政治經(jīng)濟(jì)學(xué)院統(tǒng)計(jì)學(xué)(數(shù)理金融方向)博士
電話：
電子郵件：hongbiao.z(at)gmail.com
辦公室：經(jīng)濟(jì)樓D302
個(gè)人主頁(yè)：http://hongbiaozhao.weebly.com/

?個(gè)人簡(jiǎn)介
Research Interests
  Contagion risk in banking, finance, insurance and economics
  Dependence structure modelling via copulas and point processes with contagion
  Portfolio credit risk management and strategy: pricing, hedging, rating; interaction of market and credit risk; economic capital
Education
  Department of Statistics, London School of Economics—U.K.
    PhD in Statistics (Mathematical Finance) 10/2008 - 10/2012
    – Thesis: "A Dynamic Contagion Process – Modelling Contagion Risk in Finance and Insurance"
        Advisor: Dr. Angelos Dassios
        Committee: Prof. Andreas Kyrprianou and Dr. Umut Cetin
  Warwick Business School, University of Warwick—U.K.
    MSc in Financial Mathematics (Distinction) 9/2006 - 9/2007
    – Thesis: "Credit Risk Models and Implementation", Distinction, supervised by Prof. Anthony Neuberger and
        Prof. Stewart Hodges, sponsored by Paternoster
    – Modules: Stochastic Methods, Asset Pricing, Numerical Methods Matlab & C++, Time Series Analysis,
        Derivative Securities, Economic Analysis, Statistical Methods, Finance & VBA, Optimisation, etc.
   Department of Mathematics, Zhengzhou University—China
    BSc in Mathematics and Applied Mathematics (Top 5%) 9/2002 - 7/2006
Experience
  National University of Singapore—Singapore
    Research Fellow at Risk Management Institute 11/2012-05/2013
    – Develop quantitative credit risk models for credit rating system and corporate default forecasts.
  London School of Economics—London
    Teaching Assistant 10/2009-6/2011
    – Taught Class ST102 Elementary Statistical Theory for two groups of first-year undergraduates.
    – Ran Help Session ST202 Probability, Distribution Theory and Inference for second-year undergraduates.
    – Assistant examiner on statistics for the University of London International Programmes.
  Paternoster (now Goldman Sachs)—London
    Investment Analyst (Quantitative) at Investment Strategy Group 6/2007-12/2008
    – Developed a robust stress-test model of portfolio credit risk based on stochastic processes, copulas and Monte
        Carlo simulation for economic capital required by FSA; achieved 2.22% (￡30 million) capital relief.
    – Calibrated and analyzed time series models on iBoxx/iTraxx datasets.
    – Analyzed recovery rates, Gilt/swap rates, default/liquidity risk premium, implied/historical default intensities.
    – Executed risk scenario analysis and loss distribution simulation for CDS and bespoke CDO.
    – Implemented quantitative trading strategy analysis: comparison between strategies of buy/hold and downgrade/sell.
    – Performed bootstrap historical simulation from Moody’s data to obtain default probabilities.
    – Built Paternoster’s Adjusted Credit Rating System based on spot-market yield data, which was presented to FSA chairman Lord Adair Turner on 15/5/2008 and received excellent comments.

?研究成果
Published Papers
  "A Dynamic Contagion Process", with Angelos Dassios
    - Advances in Applied Probability, 43(3), 814-846, 2011
  "Ruin by Dynamic Contagion Claims", with Angelos Dassios
   - Insurance: Mathematics and Economics, 51(1), 93-106, 2012
  "Exact Simulation of Hawkes Process with Exponentially Decaying Intensity", with Angelos Dassios   
    - Electronic Communications in Probability, 18(62), 1-13, 2013
  "A Risk Model with Delayed Claims", with Angelos Dassios
    - Journal of Applied Probability, 50(3), 686-702, 2013
  "A Markov Chain Model for Contagion", with Angelos Dassios
    - Risks, 2(4), 434-455, 2014
Working Papers
  "Portfolio Credit Risk of Default and Spread Widening", 2011
    - awarded the First Prize of the Deutsche Bank Award in Financial Risk Management and Regulation, 2012
    - in Proceedings of Australasian Finance and Banking Conference, 2011

?研究項(xiàng)目
國(guó)家自然科學(xué)基金項(xiàng)目(71401147,管理科學(xué)部,2015-2017)

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