时间：2023年6月21日 13:30-14:30

地点：维格堂319

摘要：Consider a credit portfolio with the investments in various sectors and exposed to an external stochastic environment. The portfolio loss due to defaults is of critical importance for social and economic security particularly in times of financial distress. We argue that the dependences among obligors within sectors (intradependence) and across sectors (interdependence) may coexist and influence the portfolio loss. To quantify the portfolio loss, we develop a multi-sector structural model in which a multivariate regular variation structure is employed to model the intradependence within each sector, and the interdependence across sectors is implied in the arbitrarily dependent macroeconomic factors, although, given them, obligors in different sectors are conditionally independent. We establish some sharp asymptotic formulas for the far-right tail probability and the (tail) distortion risk measures of the portfolio loss. Our results show that the portfolio loss is mainly driven by the latent variables and the recovery rate function, and is also potentially affected by the macroeconomic factors and the intradependence within sectors. Moreover, we implement intensive numerical studies to examine the accuracy of the obtained approximations and conduct some sensitivity analysis.

邀请人：严继高

杨洋个人简介

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院长。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。