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主讲人 |
LIM Kian Guan |
简介 |
<p> A random field approach to estimating vector covariances in equity-bond risk premia provides both an accurate assessment of the impact of macro-economic factors on risk premia and indication of how risk premia vary with the business cycle. Issues on spanning, pro-cyclicality or counter-cyclicality, and relationship to financial markets in states of stress will be analysed. It is shown that consideration of bond risk premia in isolation of equity risk premium is an inadequate characterization. The results have major implications on how asset management firms utilizing risk parity strategy would fare under different market circumstances. </p> |
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主讲人简介 |
<div>OUB Chair Professor of Finance & Quantitative Finance, Singapore Management University.</div>
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<div>Professor Lim, PhD Stanford, teaches and researches in the areas of quantitative finance, financial economics, financial econometrics, and applied probability and statistics. He has consulted for banks and companies in the area of risk management and project valuation. He has also been actively involved in various aspects of university administration as well as external professional services. He publishes in international refereed journals such as Quantitative Finance, International Journal of Theoretical and Applied Finance, Journal of Futures Markets, Journal of Risk, Journal of Banking and Finance, ASTIN Bulletin, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Finance and Stochastics, Review of Economics and Statistics, Statistics and Computing, Journal of Real Estate Finance and Economics, European Journal of Operations Research, Journal of Portfolio Management, Financial Analyst Journal, Transportation Research Part B, Decision Sciences, Intelligent Data Analysis, and many others. He has also written two books on “Financial Valuation and Econometrics” and “Probability and Finance Theory” published by World Scientific Press. He was awarded the Singapore Public Administration Medal (Silver) in 2012. </div>
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期数 |
“WISE-SOE”高级经济学系列讲座2016春季学期第三讲（总第361讲） |
