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
- Financial stability
- Financial regulation
- Risk management
- Extreme value theory
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.
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