题目： Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis

嘉宾：Professor Steven KOU, National University of Singapore

时间： 2016年5月5日上午9:00 – 10:00

地点：管理科研楼 EMBA第五教室

摘要：We attempt to answer two questions in this paper: (i) How did jumps in equity returns change after the 2008-2009 financial crisis; in particular, were there significant changes in jump rates or in jump sizes, or both? (ii) Can the performance of  affine jump-diffusion models be improved if jump sizes are larger, i.e. jumps with tails heavier than those of the normal distribution? To answer the second question, we find that a simple affine jump-diffusion model with both stochastic volatility and double exponential jumps fits both the S&P 500 and the Nasdaq 100 daily returns from 1980 to 2013 well; the model outperforms existing ones (e.g. models with variance-gamma jumps or jumps in volatility) during the crisis, and is at least comparable before the crisis. Based on the model and the data sets, for the first question we observe that, during the crisis, negative-jump rate has increased significantly, while there is little change in the average negative-jump size. This is a joint work with Cindy Yu and Haowen Zhong.

报告人简介：

Professor Steven Kou is currently the Director of the Risk Management Institute and a Provost's Chair Professor of Mathematics at the National University of Singapore. Previously, he taught at Columbia University, University of Michigan, and Rutgers University. His research interests include finance engineering, stochastic models, and statistics. He has served on editorial boards of Management Science, Operations Research, Mathematical Finance, Advances in Applied Probability, Mathematics of Operations Research, Operations Research Letters, Probability in Engineering and Information Science, Journal of Business and Economics Statistics. He is also the Vice President-Applied Probability for the Financial Service Society of INFORMS. He won the Erlang Prize from INFORMS.