上海对外经贸大学思源金融讲坛
——学术沙龙第14期
题目：Modeling Corporate Default Prediction: A Generalized Auto Regressive Poisson Intensity (GARPI) Approach
报告人：金小野华东政法大学国际金融法律学院
时间：2017年4月7日下午1：30-3：30
地点：博萃楼317会议室
【论文摘要】We propose a new class of model Generalized AutoRegressive Poisson Intensity (GARPI). GARPI model is an extension of the Poisson autoregression and doubly stochastic Poisson process. The proposed model is built on correlations among intensities of individuals firms by conditioning all forward intensities on the future values of some common variables, such as observed interest rate and two-tierd dependence structures. For parameter estimation, we resort to a pseudo-Bayesian numerical device and modified Sequential Monte Carlo (SMC), and for statistical inference, we rely on the self-normalized asymptotics derived from recursive parameter estimates.
【报告人简介】金小野，2013年在伦敦城市大学获得金融学博士学位，现为华东政法大学国际金融法律学院副教授，研究领域为数量金融与风险管理、资产定价、金融工程。
代表性论文
1. Jin, X., 2016. The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach, Finance Research Letters 17, 167-175. SSCI
2. Jin, X., An, X., 2016. Global financial crisis and emerging stock market contagion: A volatility impulse response function approach. Research in International Business and Finance 36,179-195.
3. Jin, X., 2015. Volatility transmission and volatility impulse response functions among the Greater China stock markets. Journal of Asian Economics 39, 43-58.
4. Jin, X., 2015. Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets. International Review of Economics and Finance 37, 340-353. SSCI
5. Jin, X., Lin, S., Tamvakis, M., 2012. Volatility transmission and volatility impulse response functions in crude oil markets. Energy Economics 34 (6), 2125-2134. SSCI
