报告人：杨洋 教授 (南京审计大学)

时间：2025年11月20日 09:00-

地址：数统学院LD402

摘要：Consider two investment portfolios from analogous sectors, where each portfolio is exposed to multilevel risks, categorized into an idiosyncratic risk factor, a systematic risk factor, and a common shock factor. To quantify portfolio losses due to defaults, we employ a one-period structural model for each portfolio; in this model, the latent variables governing individual asset credit rating migrations and defaults follow a mixture structure that integrates the aforementioned multilevel risks. Under three distinct scenarios, we conduct asymptotic analyses of two key aspects: the tail risk of each portfolio loss, and the contagion effect between the two portfolios. The core insight of this work is that the common shock factors of the two portfolios (or these common shock factors together with the systematic risk factor shared by both portfolios) may interact to generate a jointly extreme risk scenario.

邀请人：张志民

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