Full professor Erasmus School of Economics Econometrics
- Location
- Burg. Oudlaan 50, Rotterdam
- Room
- ET-48
- zhou@ese.eur.nl
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Profile
Chen Zhou is Full Professor of Mathematical Statistics and Risk Management at Econometric Institute with Erasmus School of Economics of Erasmus University Rotterdam. His main research areas are extreme value statistics and financial risk management. His work has been published in journals in the fields of statistics, financial econometrics and finance. He teaches in the Bachelor program of Econometrics and Management Science, the MSc program specializing in Quantitative Finance and Tinbergen Institute. He is a member of the Research Advisory Committee of Erasmus School of Economics.
- A Buecher & Chen Zhou (2021) - A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach - Statistical Science, 36 (3) - doi: 10.1214/20-STS795 - [link]
- Jochem Oorschot & Chen Zhou (2021) - Tail dependence of OLS - Econometric Theory, accepted - doi: 10.1017/S0266466621000311 - [link]
- X Qin & Chen Zhou (2021) - Systemic risk allocation using the asymptotic marginal expected shortfall - Journal of Banking and Finance, 126 - doi: 10.1016/j.jbankfin.2021.106099 - [link]
- Liujun Chen, D (Deyuan) Li & Chen Zhou (2021) - Distributed Inference for Extreme Value Index - Biometrika. A Journal for the Statistical Study of Biological Problems, accepted - [link]
- N Nolde & Chen Zhou (2021) - Extreme value analysis for financial risk management - Annual Review of Statistics and Its Application, 8, 217-240 - doi: 10.1146/annurev-statistics-042720-015705
- J Einmahl, A Ferreira, L De Haan, C Neves & Chen Zhou (2021) - Spatial dependence and space-time trend in extreme events - Annals of Statistics, accepted - [link]
- L De Haan & Chen Zhou (2020) - Trends in extreme value indices - Journal of the American Statistical Association, 116 (535) - doi: 10.1080/01621459.2019.1705307 - [link]
- Chen Zhou (2020) - Discussion on ‘Graphical models for extremes’ by Sebastian Engelke and Adrien Hitz - Journal of the Royal Statistical Society. Series B. Statistical Methodology, 82 (4), 928-928 - doi: 10.1111/rssb.12355 - [link]
- J Einmahl, F Yang & Chen Zhou (2020) - Testing the multivariate regular variation model - Journal of Business and Economic Statistics, accepted - doi: 10.1080/07350015.2020.1737533
- Maarten van Oordt & Chen Zhou (2019) - Systemic risk and bank business models - Journal of Applied Econometrics, 34 (3), 365-384 - doi: 10.1002/jae.2666 - [link]
De Nederlandsche Bank
- Begindatum goedkeuring
- oktober 2019
- Einddatum goedkeuring
- oktober 2022
- Plaats
- AMSTERDAM
- Beschrijving
- Senior Economist
FAECTOR's Excellence Programme
- Year
- 2021
- Year Level
- bachelor 2, bachelor 2, bachelor 2, bachelor 3, bachelor 3, bachelor 3, bachelor 4, pre-master
- Course Code
- FEB62008
Market & Systemic Risk Management
- Level
- Master
- Year
- 2021
- Year Level
- Master
- Course Code
- TI169
Estimation and Testing under Sparsity
- Level
- Master
- Year
- 2021
- Year Level
- Master
- Course Code
- TI203
Internship Hub
- Year
- 2021
- Course Code
- FEB63017
Quantitative Risk Management
- Level
- master
- Year
- 2021
- Year Level
- master
- Course Code
- FEM21034
Markov Processen
- Year
- 2021
- Year Level
- bachelor 2, pre-master
- Course Code
- FEB22008
Markov Processes
- Year
- 2021
- Year Level
- bachelor 2, bachelor 3, pre-master
- Course Code
- FEB22008X