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Chen Zhou

Chen Zhou

Economics and Research Division

Short Bio

Chen Zhou is a senior Economist at the Economics and Research Division. He is also Professor of Mathematical Statistics and Risk Management at Erasmus University Rotterdam (see EUR homepage).


2008 – PhD, Economics, Erasmus University Rotterdam
2003 – MSc, Mathematics, Peking University

Research interests

  • Financial stability
  • Financial regulation
  • Risk management
  • Extreme value theory 

Working papers

Jakob de Haan, Zhenghao Jin and Chen Zhou (14 Oktober 2019), Micro-prudential regulation and banks' systemic risk, DNB Working Paper No 656. Download

Ronald Heijmans and Chen Zhou (30 oktober 2019), Outlier detection in TARGET2 risk indicators, DNB Working Paper No 624. Download

Kai Schindelhauer and Chen Zhou (4 december 2018), Value-at-Risk prediction using option-implied risk measures, DNB Working Paper No 613. Download

Xiao Xiao and Chen Zhou (27 december 2017), Entropy-based implied moments, DNB Working paper No 581. Download

See further my Repec page

Publications in refereed journals

Einmahl, J.H.J., Yang, F. and Zhou, C. (2020), Testing the multivariate regular variation model. Journal of Business and Economic Statistics, forthcoming.

de Haan, L. and Zhou, C. (2020), Trends in extreme value indices. Journal of the American Statistical Association, forthcoming.

van Oordt, M.R.C. and Zhou, C. (2019), System risk and bank business models. Journal of Applied Econometrics 34, 365-384. Download

van Oordt, M.R.C. and Zhou, C. (2019), Estimating systematic risk under extremely adverse market conditions. Journal of Financial Econometrics 17(3), 432–461. Download

Leng, X., Peng, L., Wang, X. and Zhou, C. (2018), Endpoint estimation for observations with normal measurement errors. Extremes 22(1), 77-96. Download

Xiao, X., and Zhou, C. (2018), The decomposition of jump risks in individual stock returns. Journal of Empirical Finance 47, 207-228. Download

Gabriele Galati, Zion Gorgi, Richhild Moessner and Chen Zhou (2018), Deflation risk in the euro area and central bank credibility. Economics Letters 167, 124-126. Download

Oesting, M. Schlather, M. and Zhou, C. (2018), Exact and fast simulation of max-stable processes on a compact set using the normalized spectral representation. Bernoulli 24(2), 1497-1530. Download

Zhou, C. (2017), Book review: quantitative risk management: concepts, techniques and tools. Extremes 20, 489-491.

Laurens de Haan, Cécile Mercadier and Chen Zhou (2016), Adapting extreme value statistics to financial time series: dealing with bias and serial dependence, Finance and Stochastics 20(2), 321-354.Download

John Einmahl, Laurens de Haan and Chen Zhou (2016), Statistics of heteroscedastic extremes, Journal of the Royal Statistical Society, Series B, 78(1), 31–51.

Maarten van Oordt and Chen Zhou (2016), Systematic tail risk, Journal of Financial and Quantitative Analysis 51(2), 685-705. Download

Juan-Juan Cai, John Einmahl, Laurens de Haan and Chen Zhou (2015), Estimation of the marginal expected shortfall: the mean when a related variable is extreme, Journal of the Royal Statistical Society, Series B, 77(2), 417–442. Download

Pengfei Sun and Chen Zhou (2014), Diagnosing the distribution of GARCH innovations, Journal of Empirical Finance 29, 287–303. Download

Zhou, C. (2013), The impact of imposing capital requirement on systemic risk, Journal of Financial Stability 9(3), 320-329. Download

de Haan, L., C.G. de Vries and C. Zhou (2013), The number of active bidders in internet auctions, Journal of Economic Theory 148(4), 1726-1736. Download

Cai, J., L. de Haan and C. Zhou (2012), Bias correction in extreme value statistics with index around zero, Extremes 16(2), 173-201. Download

van Oordt, M.R.C. and C. Zhou (2012), The simple econometrics of tail dependence, Economics Letters 116(3), 371-373. Download

Huurman, C., F. Ravazzolo, and C. Zhou (2012), The power of weather, Computational Statistics & Data Analysis 56(11), 3793-3807. Download

de Haan, L., Ferreira, A. and Zhou, C. (2012), Exceedance probability of the integral of a stochastic process, Journal of Multivariate Analysis 105(1), 241-257. Download

de Haan, L. and C. Zhou (2011) Extreme residual dependence for random vectors and processes, Advances in Applied Probability 43(1), 217-242. Download

Galati, G., S. Poelhekke and C. Zhou (2011), Did the crisis affect inflation expectations?, International Journal of Central Banking 7(1), 167-208. Download

Zhou, C. (2010), Are banks too big to fail? Measuring systemic importance of financial institutions, International Journal of Central Banking 6(4), 205-250. Download

Zhou, C. (2010), Dependence structure of risk factors and diversification effects, Insurance: Mathematics and Economics 46(3), 531-540. Download

Zhou, C. (2010), The extent of the maximum likelihood estimator for the extreme value index, Journal of Multivariate Analysis 101(4), 971-983. Download

de Haan, L., C.G. de Vries and C. Zhou (2009) The expected payoff to Internet auctions, Extremes 12(3), 219-238. Download

Zhou, C. (2009), Existence and consistency of the maximum likelihood estimator for the extreme value index, Journal of Multivariate Analysis 100(4), 794-815. Download

Zhou, C. (2008), A two-step estimator of the extreme value index, Extremes 11(3), 281-302. Download

Buishand, A., L. de Haan and C. Zhou (2008), On spatial extremes: with application to a rainfall problem, Annals of Applied Statistics 2(2), 624-642. Download

de Haan, L., and C. Zhou (2007), On extreme value analysis of a spatial process, Revstat 6(1), 71-81. Download

de Vries, C.G. and C. Zhou (2006) Discussion of “Copulas: Tales and facts”, by Thomas Mikosch, Extremes 9(1), 23-25. Download

Books and publications in books

van Oordt, M.R.C. and Zhou, C. (2018), Systemic risk of European banks: regulators and markets. In: Macroprudential Policy and Practice. Edited by P. Milzen, M. Rubio and P. Turner. Cambridge University Press, 205-224.

Other publications

Zhou, C. (2019) Book review: Risk Theory: A Heavy Tail Approach. Journal of the American Statistical Association 114 (527), 1424-1425. Download

Zhou, C. (2018), Discussion on "Human Life is unlimited-but short" by Holger Rootzen and Dimitri Zholud. Extremes 21(3), 405-410.

Zhou, C. (2017), Discussion on "Elicitability and backtesting: Perspectives for banking regulation". Annals of Applied Statistic 11(4), 1888-1893.

Zhou C. and Tarashev N. (2013) Looking at the tail: price-based measures of systemic importance, BIS Quarterly Review, June.  Download



Latest update: January 2019