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摘要：
张聚宝，博士毕业于麻省理工学院，物理海洋学专业；特许金融分析师，20年业界经验，在金融工程、固定收益、风险控制、数据分析、金融衍生品、资产管理、电力经济运算领域拥有丰富的实用科研经验。
时间：9月9日（星期三）上午9:30—11:00
地点：腾讯会议，会议 ID：479 884 944
点击链接直接加入会议：https://meeting.tencent.com/s/VDyOVqDcY503
讲座题目：Risk Inferences from Financial Returns
讲座摘要：Based on daily return data of S&P 500 index (dividends included),the following inferences about risk are observed:(1) Volatility clusters. The volatility of financial returns changes with time, tending to cluster together. This means many days of high volatility followed by many days of low volatility.(2) Fat tails. Financial returns occasionally demonstrated very large positive or negative returns that can’t be explained with normal distribution assumptions. In addition, based on the correlations of various securities (or asset classes) during different time periods, we observe: (3) Nonlinear dependence. It means correlations are lower in bull markets than in bear markets, while much higher in financial crisis. All three observations differ from assumptions underlying the commonly used modern portfolio theory, and in turn they suggest much larger potential portfolio losses under very stressed market conditions like 2007-2009 financial crisis or 2020 covid-19 pandemic.
欢迎感兴趣的老师和同学参加。
人事与师资办公室
2020年9月5日