报告人：杨洋(南京审计大学)

时间：2023年12月01日 10:00-

腾讯会议ID：495 400 246

摘要：We consider a general portfolio of assets with low individual default risk and study the probability of the portfolio default loss exceeding an arbitrary threshold. The latent variables driving defaults are modeled by a mixture structure, which combines common shock, systematic risk, and idiosyncratic risk factors. While common shocks and systematic risk have been found by many studies to contribute significantly to portfolio losses, the role of idiosyncratic risk is often neglected, despite its high relevance for unbalanced or under-diversified portfolios. This study focuses on heavy-tailed idiosyncratic risk factors and explores two distinct scenarios among them: an independence scenario and an asymptotic dependence scenario. The former is standard in the literature, while the latter is motivated by some recent studies that have found the inadequacy of relying solely on common factors to capture default clustering or sovereign default spreads. This consideration also reflects the possibility that idiosyncratic reasons can trigger contagion among firms with liabilities in each other. Our main results establish asymptotic equivalences for the exceedance probability of the portfolio loss as the representative default probability approaches zero. These results highlight the significance of dominant idiosyncratic risk factors and their dependence in portfolio losses.

简介：杨洋，博士，教授，博士生导师，现任南京审计大学统计与数据科学学院副经理。长期从事金融统计、风险管理与精算学、应用概率论等研究工作。先后主持国家自然科学基金2 项、国家社会科学基金1项、教育部人文社会科学基金2项、江苏省自然科学基金面上项目4 项、中国博士后科学基金特别资助项目1项和面上项目2 项、江苏省优秀科技创新团队项目1项、江苏省高校自然科学基金重大项目3 项。先后访问美国University of Iowa、香港大学和立陶宛Vilnius University。发表高质量学术论文100余篇，其中SCI 收录72 篇，SSCI收录20篇，包括《European Journal of Operational Research》、《Insurance: Mathematics and Economics》、《Journal of Applied Probability》、《Journal of Theoretical Probability》、《Scandinavian Actuarial Journal》、《Astin Bulletin》、《Extremes》、《Journal of Applied Statistics》、《中国科学》中英文版等。曾获得江苏省“333 工程”培养对象、江苏省“六大人才高峰”高层次人才、江苏省“青蓝工程”中青年学术带头人、江苏省“数学”重点建设学科负责人、江苏省“统计学”重点建设学科方向负责人等荣誉称号。现任江苏省概率统计学会副理事长、中国工程概率统计学会常务理事、全国工业统计学教学研究会理事、中国优选法统筹法与经济数学研究会量化金融与保险分会理事、中国现场统计研究会风险管理与精算分会理事、江苏省工业与应用数学学会理事。

邀请人：张志民

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