教师
赵阳
赵阳
助理教授
Tel: 010-6228 8200
Email: yangzhao@cufe.edu.cn
Office: Acadmy Hall 808 (学术会堂808）
Homepage: https://sites.google.com/site/yangzhaoshomepage/
Last updated: October 7, 2018
英国格拉斯哥大学亚当斯密商学院数量金融学博士，主要研究领域包括：Quantitative Risk Management, Portfolio Optimization, Empirical Asset Pricing。在Journal of Empirical Finance，Journal of Futures Markets，Quantitative Finance等国际期刊发表论文数篇，研究被AEA，FMA，RES，IFABS等多个国际会议接收，主持国家自然科学基金（青年项目）一项，参与中英联合研究项目一项。
Ph.D. Quantitative Finance, University of Glasgow, UK, 2011–2016.
Doctoral Training in Econometrics, University of Cambridge, UK, 2013.
M.Sc. Finance and Investment, University of Essex, UK, 2009–2010.
B.Sc. Statistics, Jiangxi University of Finance and Economics, China, 2005–2009.
Assistant Professor in Finance, Central University of Finance and Economics, 2018–present.
Assistant Professor in Finance, Jiangxi University of Finance and Economics, 2016–2018.
Graduate Teaching Assistant, University of Glasgow, 2012–2015.
1. “Relation between Higher Order Comoments and Dependence Structure of Equity Portfolio”, (with M. Cerrato, J. Crosby and M. Kim), Journal of Empirical Finance, 40 (2017): 101-120.
2. “The Joint Credit Risk of UK Global-Systemically Important Banks”, (with M. Cerrato, J. Crosby and M. Kim), Journal of Futures Markets, 37 (2017): 964-988.
3. “Neural Network Copula Portfolio Optimization for Exchange Traded Funds”, (with G. Sermpinis and C. Stasinakis, Y. Shi), Quantitative Finance, 18(5), 761-775.
4. “Does the Introduction of Index Futures Stabilize Stock Markets? Further Evidence from Emerging Markets”, (with A. Kutan, Y. Shi and M. Wei), International Review of Economics & Finance, forthcoming.
1. National Natural Science Foundation of China (NSFC) (Grant No. 71801117), 2018-2020, Principal Investigator.
2. HEFCE Newton Fund Official Development Assistance Allocation, (Grant No. RI350011), 2017-2019,External Collaborator.
1. “The Dependence Structure between Equity and Foreign Exchange Rates and Tail Risk Forecasts of Foreign Investments”, (with M. Kim and J. Yang), Working Paper, 2017. (under reviewed by the Journal of International Money and Finance)
2. “Dynamic Default Correlations in Financial System”, (with X. Zhang and M. Kim), Working Paper,2017. (R&R to the Journal of Banking and Finance)
3. “The Term Structure of Option Implied Volatility and Realized Volatility of Futures Markets”, (with Y. Shi, Y. Xu and H. Zhang), Working Paper, 2018.
4. “Urbanization, Energy Consumption and Environmental Degradation: Evidence from China”, (with Paramati, S.R. and Y. Shi), Working Paper, 2018.
5. “Collateral and loan risk: Evidence from China”, (with X. Zhang and Y. Zhang), Working Paper,2018.
6. “Revisiting Fama-French Factors??A?Z Predictability with Bayesian Modelling and Copula-based Portfolio Optimization”, (with G. Sermpinis, C. Stasinakis and F. Fernandes), Working Paper, 2018.
7. “Modeling International Financial Contagion: A Dynamic Vine Copula Method”, (with Y. Shi and X. Xia), Working Paper, 2017.
8. “Diversification Benefits of Alternative Investments: A Markov Regime Switching Regular Vine Copula Method”, (with Y. Shi and X. Xia), Working Paper, 2017.
9. “Credit Portfolio Risk Modelling with Vine Cpulas”, (with Y. Shi and X. Xia), Working Paper, 2017.
10. “The Design of Dynamic and Nonlinear Models in Cash Flow Prediction”, (with Y. Pang and Y. Shi), Working Paper, 2017.
1. “The Price of Time-varying and Asymmetric Dependence: International Asset Pricing Approach”,(with M. Cerrato and M. Kim).
2. “The Dependence Structure of the UK Equity Factors”, (with M. Kim and Y. Shi).
3. “Stock Liquidity and Portfolio Optimization”, (with P. Sun and X. Zhang).
4. “Financial Constraints and the Value of Corporate Cash Holdings: Evidence from China”, (with J.Yang).
5. “Capital Requirements for the Insurance Companies”, (with Q. Lu and X. Zhang).
1. The 2018 Financial Data Science and Econometrics Workshop, Loughborough, UK.
2. The IFABS 2018 Porto Conference, Porto, Portugal.
3. The Six International Conference on Futures and Other Derivatives, Ningbo, China.
4. The 30th Australasian Finance and Banking Conference, Sydney, Australia.
5. The 49th Money, Macro and Finance Research Group Annual Conference, London, UK.
6. The IFABS Asia 2017 Ningbo Conference, Ningbo, China.
7. The 7th International Conference of the Financial Engineering and Banking Society, Banking, Financial Markets, Innovation and Regulation, Glasgow, UK.
8. The 1st International Conference on Econometrics and Statistics, Hong Kong, China. (presenter)
9. The 2017 FMA Applied Finance Conference, New York, USA.
10. The 2016 International Conference on Futures and Other Derivatives, Shenzhen, China. (presenter)
11. The 2016 Annual Conference of the Royal Economic Society (RES), Brighton, UK.
12. The British Accounting and Finance Association (BAFA) Annual Conference 2016, Bath, UK.
13. The 2016 Royal Economic Society (RES) PhD Meetings, London, UK. (presenter)
14. The 2015 American Economic Association (AEA) Annual Meeting, Boston, USA.
15. The 1st Young Finance Scholars’ Conference, Best paper award, Brighton, UK. (presenter)
16. The 6th CEQURA Conference, Munich, Germany.
17. Quant Europe 2015 conference (organized by Risk Magazine), April 2015, London, UK.
18. ICBI Global Derivatives conference in Amsterdam, May 2015, Amsterdam, Netherlands.
19. The Quant Europe 2015 conference (organized by Risk Magazine), London, UK.
20. The ICBI Global Derivatives conference in Amsterdam, Amsterdam, Netherlands.
1.International Review of Financial Analysis
2.Quantitative Finance
3.Annals of Operational Research
4.Journal of Forecasting
5.Accounting and Finance
6.Emerging Markets Finance and Trade