References of "Jin, Xisong 50002044"
     in
Bookmark and Share    
Peer Reviewed
See detailTracking Changes in the Intensity of Financial Sector?
Jin, Xisong UL

Scientific Conference (2015)

Detailed reference viewed: 28 (0 UL)
Peer Reviewed
See detailTimeliness in Selected Structural Credit Risk Models
Jin, Xisong UL

Scientific Conference (2015)

Detailed reference viewed: 22 (0 UL)
Peer Reviewed
See detailDynamic Dependence and Diversification in Corporate Credit
Jin, Xisong UL

Scientific Conference (2015)

Detailed reference viewed: 48 (0 UL)
Full Text
Peer Reviewed
See detailA Framework for Tracking Changes in the Intensity of Investment Funds’ Systemic Risk
Jin, Xisong UL; Nadal de Simone, Francisco

in Journal of Empirical Finance (2014), 29

This study applies to investment funds a novel framework which combines marginal probabilities of distress estimated from a structural credit risk model with the consistent information multivariate ... [more ▼]

This study applies to investment funds a novel framework which combines marginal probabilities of distress estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology of Segoviano, and the generalized dynamic factor model (GDFM). The framework models investment funds’ distress dependence explicitly and captures the time-varying non-linearities and feedback effects typical of financial markets. It measures investment funds systemic credit risk in three forms: (1) credit risk common to all funds within each of the seven categories the Eurosystem reports to the ECB; (2) credit risk in each category of investment fund conditional on distress on another category of investment fund and; (3) the buildup of investment funds’ vulnerabilities over time which may unravel disorderly. In addition, the estimates of the common components of the investment funds’ distress measures contain early warning features, and the identification of their drivers is useful for macroprudential policy. As a result, this framework contributes to making macroprudential policy operational [less ▲]

Detailed reference viewed: 137 (1 UL)
Full Text
Peer Reviewed
See detailCorrelation Dynamics and International Diversification Benefits
Jin, Xisong UL; Christoffersen, Peter; Errunza, Vihang et al

in International Journal of Forecasting (2014), 30(3), 807824

Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for ... [more ▼]

Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs) during the period 1973-2012. We show that it is possible to model co-movements for many countries simultaneously using BEKK, DCC, and DECO models. Empirically, we find that correlations have significantly trended upward for both DMs and EMs. Based on a time-varying measure of diversification benefit, we find that it is not possible in a long-only portfolio to circumvent the increasing correlations by adjusting the portfolio weights over time. However, we do find some evidence that adding EMs to a DM-only portfolio increases diversification benefits. [less ▲]

Detailed reference viewed: 115 (6 UL)
Full Text
Peer Reviewed
See detailBanking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach
Jin, Xisong UL; Nadal De Simone, Francisco

in Journal of Financial Stability (2014)

Detailed reference viewed: 124 (38 UL)
Full Text
Peer Reviewed
See detailTimeliness in Selected Structural Credit Risk Models
Jin, Xisong UL; Lehnert, Thorsten UL; Nadal de Simone, Francisco

E-print/Working paper (2013)

We empirically investigate and evaluate various approaches to structurally assess credit risk changes using a panel of selected European banking groups. The objective is to evaluate the models according ... [more ▼]

We empirically investigate and evaluate various approaches to structurally assess credit risk changes using a panel of selected European banking groups. The objective is to evaluate the models according to one metric, i.e., their ability to correctly and timely identify changes in credit risk indicators useful for macroprudential policy. We consider not only the standard approaches in the literature, but also include models that allow the asset volatility to be stochastic and models that allow for short- and long-term components of default risk. Surprisingly, we find that the GARCH structural credit risk model, despite its more sophisticated modeling approach, typically underperforms more basic models. Importantly for macro-prudential policy, combining the Merton model with the GARCH-MIDAS model performs best and reflects important market events earlier than the other approaches. [less ▲]

Detailed reference viewed: 73 (1 UL)
Full Text
Peer Reviewed
See detailDynamic Dependence in Corporate Credit
Jin, Xisong UL; Christoffersen, Peter; Jacobs, Kris et al

E-print/Working paper (2013)

Detailed reference viewed: 67 (0 UL)
Full Text
Peer Reviewed
See detailAn Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal
Jin, Xisong UL; Nadal de Simone, Francisco

Scientific Conference (2012, April 25)

Detailed reference viewed: 36 (17 UL)
Full Text
Peer Reviewed
See detailDoes the GARCH Structural Credit Risk Model Make a Difference?
Jin, Xisong UL; Lehnert, Thorsten UL

E-print/Working paper (2011)

In this study, we empirically investigate and evaluate various approaches to structurally assess credit risk using a panel of European banking groups. We consider not only the standard approaches in the ... [more ▼]

In this study, we empirically investigate and evaluate various approaches to structurally assess credit risk using a panel of European banking groups. We consider not only the standard approaches in the literature, but also include models that allow the asset volatility to be stochastic and models that allow for short- and long-term components of default risk. Models are evaluated by comparing their ability to correctly and timely identify changes in risk indicators. Surprisingly, we find that the GARCH structural credit risk model, despite its more sophisticated modeling approach, typically underperforms more basic models. Importantly for macro-prudential policy, the combined Merton/GARCH-MIDAS model performs best and reflects important market events earlier than the other approaches. [less ▲]

Detailed reference viewed: 100 (3 UL)
Full Text
Peer Reviewed
See detailMarket- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools
Jin, Xisong UL; Nadal de Simone, Francisco

E-print/Working paper (2011)

Detailed reference viewed: 24 (0 UL)
Full Text
Peer Reviewed
See detailIs the Potential for International Diversification Disappearing?
Jin, Xisong UL; Christoffersen, Peter; Errunza, Vihang et al

E-print/Working paper (2010)

Detailed reference viewed: 46 (2 UL)
Full Text
Peer Reviewed
See detailOn the Dynamics of Herding Behavior and Stock Returns
Jin, Xisong UL; Tang, Ya

E-print/Working paper (2010)

Detailed reference viewed: 52 (4 UL)
Full Text
Peer Reviewed
See detailExploring Dynamic Default Dependence
Jin, Xisong UL; Christoffersen, Peter; Jacobs, Kris et al

E-print/Working paper (2009)

Detailed reference viewed: 38 (0 UL)