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  Timeliness in Selected Structural Credit Risk ModelsJin, Xisong  Scientific Conference (2015) Detailed reference viewed: 38 (0 UL)Dynamic Dependence and Diversification in Corporate CreditJin, Xisong Scientific Conference (2015) Detailed reference viewed: 66 (0 UL)Tracking Changes in the Intensity of Financial Sector?Jin, Xisong Scientific Conference (2015) Detailed reference viewed: 45 (0 UL) Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common CurrencyBekkour, Lamia ; Jin, Xisong ; Lehnert, Thorsten et alin Journal of Empirical Finance (2015), 33 Detailed reference viewed: 171 (11 UL)A Framework for Tracking Changes in the Intensity of Investment Funds’ Systemic RiskJin, Xisong ; 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: 206 (1 UL)Correlation Dynamics and International Diversification BenefitsJin, Xisong ; ; et alin 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: 168 (6 UL)Euro_At_RiskRasmouki, Fanou ; Bekkour, Lamia ; Lehnert, Thorsten et alScientific Conference (2014, June) Detailed reference viewed: 6 (0 UL)Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO ApproachJin, Xisong ; in Journal of Financial Stability (2014) Detailed reference viewed: 167 (38 UL)Timeliness in Selected Structural Credit Risk ModelsJin, Xisong ; Lehnert, Thorsten ; 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: 106 (1 UL)Dynamic Dependence in Corporate CreditJin, Xisong ; ; et alE-print/Working paper (2013) Detailed reference viewed: 112 (0 UL)An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators ArsenalJin, Xisong ; Scientific Conference (2012, April 25) Detailed reference viewed: 48 (17 UL)Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common CurrencyBekkour, Lamia ; Jin, Xisong ; Lehnert, Thorsten et alE-print/Working paper (2012) Detailed reference viewed: 164 (15 UL)Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy ToolsJin, Xisong ; E-print/Working paper (2011) Detailed reference viewed: 44 (0 UL)Does the GARCH Structural Credit Risk Model Make a Difference?Jin, Xisong ; Lehnert, Thorsten 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: 158 (3 UL)Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic CopulasJin, Xisong ; Lehnert, Thorsten E-print/Working paper (2011) Detailed reference viewed: 98 (2 UL)Is the Potential for International Diversification Disappearing?Jin, Xisong ; ; et alE-print/Working paper (2010) Detailed reference viewed: 101 (2 UL)On the Dynamics of Herding Behavior and Stock ReturnsJin, Xisong ; E-print/Working paper (2010) Detailed reference viewed: 105 (4 UL)Exploring Dynamic Default DependenceJin, Xisong ; ; et alE-print/Working paper (2009) Detailed reference viewed: 81 (0 UL) |
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