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Attend a guest lecture exploring advanced concepts in systemic risk measurement and portfolio selection, delivered by Dr. Liang Peng, Thomas P Bowles chair professor of actuarial science at Georgia State University. Discover how individual financial entities impact entire financial systems through the lens of extreme comovement analysis and learn about a novel systemic risk measure called CoVaRCM that integrates both comovement and predictor variables to assess joint effects of multiple losses. Examine the challenging question of measuring and forecasting collective impacts of two individual losses on systemic risk, conditional on specific predictors and their comovement patterns. Explore the three-quantile regression model used for efficient inference when dealing with comovement events that depend on predictors and have zero probability. Compare CoVaRCM with conventional CoVaR measures through two proposed metrics and analyze empirical evidence demonstrating the significant influence of comovement on systemic risk. Gain insights into statistical inference applications for systemic risk-driven portfolio selection strategies from a leading expert who has published over 180 papers in statistics, econometrics, and actuarial science journals and serves as an elected fellow of both the Institute of Mathematical Statistics and the American Statistical Association.
