Xianhua Peng
Xianhua Peng
Associate Professor, HSBC Business School, Peking University
Verifierad e-postadress på phbs.pku.edu.cn
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External risk measures and Basel accords
S Kou, X Peng, CC Heyde
Mathematics of Operations Research 38 (3), 393-417, 2013
239*2013
On the measurement of economic tail risk
S Kou, X Peng
Operations Research 64 (5), 1056-1072, 2016
562016
From Stein identities to moderate deviations
LHY Chen, X Fang, QM Shao
The Annals of Probability 41 (1), 262-293, 2013
302013
Default clustering and valuation of collateralized debt obligations
X Peng, S Kou
Working Paper, 2009
302009
Asset allocation under the basel accord risk measures
Z Wen, X Peng, X Liu, X Sun, X Bai
arXiv preprint arXiv:1308.1321, 2013
242013
On the Wiener–Hopf factorization for Lévy processes with bounded positive jumps
A Kuznetsov, X Peng
Stochastic Processes and their Applications 122 (7), 2610-2638, 2012
122012
Asset Pricing with Spatial Interaction
S Kou, X Peng, H Zhong
Management Science, 0
12*
Expected shortfall or median shortfall
S Kou, X Peng
Journal of Financial Engineering 1 (01), 1450007, 2014
102014
Connecting the top-down to the bottom-up: pricing CDO under a conditional survival (CS) model
XH Peng, SSG Kou
2008 Winter Simulation Conference, 578-586, 2008
82008
What Is a Good Risk Measure: Bridging the Gaps Between Data
CC Heyde, S Kou, XH Peng
Coherent Risk Measures, and Insurance Risk Measures, 2006
52006
Robust external risk measures
S Kou, X Peng, CC Heyde
Wiley Encyclopedia of Operations Research and Management Science, 2010
42010
Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk
XD He, X Peng
Operations Research 66 (5), 1268-1275, 2018
22018
On the sample path properties of mixed Poisson processes
M Fu, X Peng
Operations Research Letters 46 (1), 1-6, 2018
12018
EM Algorithm and Stochastic Control in Economics
S Kou, X Peng, X Xu
Available at SSRN 2865124, 2016
12016
Surplus-Invariant, Law-Invariant, and Positively Homogeneous Acceptance Sets Must be Induced by Value-at-Risk
X He, X Peng
http://www.math.ust.hk/~maxhpeng …, 2016
12016
Public evacuation decisions and hurricane track uncertainty
GK Rand, Gocomics, WA Sherden, PE Tetlock, PL Bernstein, CC Heyde, ...
Interfaces 43 (3), 288-296, 2013
2013
Generalized gamma linear transformation model with application to limit order execution
Y Jiang, X Peng, K Chen
E-Companion of “Asset Pricing with Spatial Interaction” by
S Kou, X Peng, H Zhong
Comments on the Consultative Document “Fundamental Review of the Trading Book” Released by Bank for International Settlement on May 3 rd, 2012
S Kou, X Peng
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Artiklar 1–19