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Sharp Asymptotics for Large Portfolio Losses under Extreme Risks

2018/01/12 17:21  点击:[]

报告人:杨洋(南京审计大学)


时间:2018.01.16(星期二)16:00-17:00


地点:理科楼LD201


摘要:We study the asymptotic behavior of the loss from defaults of a large portfolio. Inspired by the work of Bassamboo, Juneja, and Zeevi (2008, Operations Research), we consider a static structural model in which latent variables governing individual defaults follow a mixture structure incorporating idiosyncratic risk, systematic risk, and common shock. In our setting, the loss rate of each obligor is linked to its severity of default through a general loss settlement function. The portfolio effect, namely the decrease in overall risk due to the portfolio size increase, is taken into account by assuming that the individual default thresholds are proportional to a positive deterministic function diverging to infinity. Furthermore, the obligor-specific variables form a sequence of independent and identically distributed vectors, which still allows heterogeneity of the portfolio though. We derive sharp asymptotics for the tail probability of the portfolio loss as the portfolio size becomes large for two cases: (1) the common shock variable has a regularly varying tail dominating that of the systematic risk factor; (2) the systematic risk factor has a regularly varying tail dominating that of the common shock variable. Our main finding is that the occurrence of large losses can be attributed to either the common shock variable or the systematic risk factor, whichever has a heavier tail.


报告人简介:杨洋,博士,教授,现任南京审计大学理学院统计学系主任。长期从事金融统计、保险精算、风险管理、应用概率论等研究工作。先后主持国家自然科学基金2项、教育部人文社会科学基金1项、江苏省自然科学基金面上项目3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1项。先后访问美国University of Iowa、香港大学和立陶宛Vilnius University。近5年,发表高质量学术论文40余篇,其中SCI、SSCI收录37篇,包括《Stochastic Processes and their Applications》、《Insurance: Mathematics and Economics》、《Journal of Applied Probability》、《Scandinavian Actuarial Journal》、《Extremes》、《中国科学》等;由科学出版社出版学术专著2部。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。


学院联系人:张志民

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