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JIN Xisong

Main Referenced Co-authors
LEHNERT, Thorsten  (6)
Christoffersen, Peter (4)
Jacobs, Kris (4)
Nadal de Simone, Francisco (4)
BEKKOUR, Lamia  (3)
Main Referenced Keywords
: Structural Credit Risk Models, GARCH, Risk Management, Merton Model, Heston-Nandi Model, Macroprudential Policy (1); asset pricing, asset allocation, dynamic conditional correlation (DCC), dynamic equicorrelation (DECO). (1); financial stability; investment funds; procyclicality, macroprudential policy; credit risk; early warning indicators; probability of distress, non-linearities, generalized dynamic factor model; dynamic copulas. (1); Structural Credit Risk Models, GARCH, Risk Management, Merton Model, Heston-Nandi Model, Macro-prudential Policy (1);
Main Referenced Disciplines
Finance (18)

Publications (total 18)

The most downloaded
6 downloads
JIN, X., & LEHNERT, T. (2011). Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/9556. https://hdl.handle.net/10993/9556

The most cited

84 citations (Scopus®)

JIN, X., Christoffersen, P., Errunza, V., & Jacobs, K. (July 2014). Correlation Dynamics and International Diversification Benefits. International Journal of Forecasting, 30 (3), 807–824. doi:10.1016/j.ijforecast.2014.01.001 https://hdl.handle.net/10993/9698

JIN, X. (2015). Tracking Changes in the Intensity of Financial Sector? [Paper presentation]. 7th International IFABS Conference, Hangzhou, China.

JIN, X. (2015). Timeliness in Selected Structural Credit Risk Models [Paper presentation]. IRMC 2015.

JIN, X. (2015). Dynamic Dependence and Diversification in Corporate Credit [Paper presentation]. American Finance Association.

BEKKOUR, L., JIN, X., LEHNERT, T., RASMOUKI, F., & WOLFF, C. (2015). Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common Currency. Journal of Empirical Finance, 33, 67-83. doi:10.1016/j.jempfin.2015.06.004
Peer Reviewed verified by ORBi

JIN, X., & Nadal de Simone, F. (18 September 2014). A Framework for Tracking Changes in the Intensity of Investment Funds’ Systemic Risk. Journal of Empirical Finance, 29, 343–368. doi:10.1016/j.jempfin.2014.09.002
Peer reviewed

JIN, X., Christoffersen, P., Errunza, V., & Jacobs, K. (July 2014). Correlation Dynamics and International Diversification Benefits. International Journal of Forecasting, 30 (3), 807–824. doi:10.1016/j.ijforecast.2014.01.001
Peer reviewed

RASMOUKI, F., BEKKOUR, L., LEHNERT, T., JIN, X., & WOLFF, C. (June 2014). Euro_At_Risk [Paper presentation]. International Risk Management Conference.

JIN, X., & Nadal De Simone, F. (2014). Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach. Journal of Financial Stability. doi:10.1016/j.jfs.2013.12.004
Peer reviewed

JIN, X., LEHNERT, T., & Nadal de Simone, F. (2013). Timeliness in Selected Structural Credit Risk Models. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/9699.

JIN, X., Christoffersen, P., Jacobs, K., & Langlois, H. (2013). Dynamic Dependence in Corporate Credit. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/9700.

JIN, X., & Nadal de Simone, F. (25 April 2012). An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal [Paper presentation]. Publication of the 2012 Financial Stability Review of Central Bank of Luxembourg.

BEKKOUR, L., JIN, X., LEHNERT, T., RASMOUKI, F., & WOLFF, C. (2012). Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/5803.

JIN, X., & LEHNERT, T. (2011). Does the GARCH Structural Credit Risk Model Make a Difference? ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/9544.

JIN, X., & Nadal de Simone, F. (2011). Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/9719.

JIN, X., & LEHNERT, T. (2011). Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/9556.

JIN, X., Christoffersen, P., Errunza, V., & Jacobs, K. (2010). Is the Potential for International Diversification Disappearing? ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/9723.

JIN, X., & Tang, Y. (2010). On the Dynamics of Herding Behavior and Stock Returns. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/9702.

JIN, X., Christoffersen, P., Jacobs, K., & Ericsson, J. (2009). Exploring Dynamic Default Dependence. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/9729.

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