Ning Zhang

Xi’an Jiaotong-Liverpool University · Department of Finance

This paper develops a generic adjustment framework to improve in the market risk forecasts of diverse risk forecasting models, which indicates the degree to which risk is under- and overestimated. In the context of the energy commodity market, a market in which tail risk management is of crucial importance, the empirical analysis shows that after t...

In the context of multiperiod tail risk (i.e., VaR and ES) forecasting, we provide a new semiparametric risk model constructed based on the forward-looking return moments estimated by the stochastic volatility model with price jumps and the Cornish-Fisher expansion method, denoted by SVJCF. We apply the proposed SVJCF model to make multiperiod ahea...

Whether responsible investing reduces portfolio risk remains open to discussion. We study the relationship between ESG performance and downside risk at fund level in the Chinese equity mutual fund market. We find that fund ESG performance is positively associated with fund downside risk during the period between July 2018 and March 2021, and that t...

In the context of multiperiod tail risk (i.e., VaR and ES) forecasting, we provide a new semiparametric risk model constructed based on the forward-looking return moments estimated by the stochastic volatility model with price jumps and the Cornish-Fisher expansion method, denoted by SVJCF. We apply the proposed SVJCF model to make multiperiod ahea...

A new model risk measure and estimation methodology based on loss functions is proposed in order to evaluate the accuracy of volatility models. The reliability of the proposed estimation has been verified via simulations and the estimates provide a reasonable fit to the true model risk measure. An empirical analysis based on several assets is under...

Pandemics are disruptive events that have profound consequences for society and the economy. This volume aims to present an analysis of the economic impact of COVID-19 and its likely consequences for our future. This is achieved by drawing from the expertise of authors who specialise in a wide range of fields including fiscal and monetary policy, b...

In this paper we propose to measure the model risk of Expected Shortfall as the optimal correction needed to pass several ES backtests, and investigate the properties of our proposed measures of model risk from a regulatory perspective. Our results show that for the DJIA index, the smallest corrections are required for the ES estimates built using...