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NUS Quantitative Finance Joint Seminar Series (Webinar)

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Date: 2 June 2022, Thursday
Time: 3:00pm to 4:00pm
(Singapore Time Zone, GMT +8)

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Register Now
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This webinar is jointly organised by Risk Management Institute, Centre for Quantitative Finance and NUS Chongqing Research Institute.

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Abstract

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Title: Distributed Inference in Extreme Value Statistics

Professor Chen ZHOU (Erasmus University Rotterdam)

Abstract: The availability of massive datasets allows for conducting extreme value statistics using more observations drawn from the tail of an underlying distribution. When large datasests are distributedly stored and cannot be combined into one oracle sample, a divide-and-conquer algorithm is often invoked to construct a distributed estimator. If the distributed estimator possesses the same asymptotic behavior as the hypothetical oracle estimator based on the oracle sample, then it is regarded as satisfying the oracle property. In a series of works, we introduce a set of tools for establishing the oracle property of most estimators in extreme value statistics. The tools are based on the (multivariate) tail empirical process and the tail quantile process.

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About the Speaker

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Chen Zhou is Professor of Mathematical Statistics and Risk Management at the Econometrics Institute, Erasmus University Rotterdam. He is also a senior economist at De Nederlandsche Bank (Dutch Central Bank). Chen’s research focuses on extreme value statistics and its applications in quantitative risk management, financial stability and financial regulation. His statistical work has been published in statistical journals such as Annals of Statistics, Journal of Royal Statistical Society (Series B) and Journal of American Statistical Association. His applied work has been published in economic and finance journals such as Journal of Financial and Quantitative Analysis and Journal of Economic Theory. Chen is also the area editor of Extremes in Economics, Finance and Insurance.

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For more information on all our workshops & seminars,
please visit Risk Management Institute website.
For enquiries, please contact Sinta at sinta@nus.edu.sg.
Kindly note that recordings and presentation materials will not be made available after the webinar.

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