题目：Systemic Risk: CoVaR, Comovement, and Portfolio Selection

汇报人：Liang Peng

会议时间：2026年5月20日（周三）  14：00

地点：综合楼644会议室

报告人简介：

Dr. Liang Peng has been the Thomas P Bowles chair professor of actuarial science in the Maurice R. Greenberg School of Risk Science in the Robinson College of Business at Georgia State University since August 2014.  Dr. Peng has published one book on heavy-tailed data analysis and more than 180 papers in various statistics, econometrics, and actuarial science journals. His research interests include Extreme Value Analysis, Econometrics, Risk Analytics, Actuarial Science, and Mutual Fund Management.

He received his Ph.D. in 1998 from Erasmus University Rotterdam in the Netherlands. He became an elected fellow of the Institute of Mathematical Statistics in 2009 and the American Statistical Association in 2012. His editorial board services include an associate editor for the Journal of American Statistical Association (2017--2023),  Statistica Sinica (2011--2020),  Annals of Statistics (2007--2009), Extremes (2007 --2014), Scandinavian Journal of Statistics (2014--2020),  Statistics and Probability Letters (2012--2013), Statistics and Its Interface (2010--2013), Journal of Korean Statistical Society (2008--2013), ASTIN Bulletin (2021 --2026), and Variance (2025-2027).  

报告摘要：

Systemic risk often measures the likelihood of the system being in distress when an individual is in distress.  In this talk, we will review some popular systemic risk measures, discuss issues on conditions, asymptotic theories, and tests for using the popular CoVaR systemic measure, propose a statistical method for measuring and testing the comovement impact on systemic risk,  develop a nonparametric method for selecting the optimal portfolio in terms of systemic risk, and illustrate these methods in financial applications.