Arbetsområden: econometrics, financial economics, credit risk

Short bio 

Xin Zhang obtained his Ph.D. in Finance from VU University Amsterdam and Tinbergen Institute. He also holds an M.Phil. in Econometrics and Finance from University of Amsterdam and Tinbergen Institute. He joined the research division at Sveriges Riksbank in 2012. His research areas include time series econometrics, financial economics, credit risk and quantitative finance.

 

Personal webpage: https://sites.google.com/site/zhangxinphd/ 

Education

  • Ph.D. in Finance, VU University Amsterdam
  • M.Phil. in Econometrics and Finance, University of Amsterdam
  • Bachelor in Economics, Statistics, Peking University

Publications in Refereed Journals

"Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting", International Journal of Forecasting, vol 32, 2016, pages 293 – 302, (with A. Lucas).

 

"Modeling Financial Sector Joint Tail Risk in the Euro Area", Journal of Applied Econometrics, Vol 32, (1), 2017, Pages 171–191, (with A. Lucas and B. Schwaab).

 

"Conditional Euro Area Sovereign Default Risk", Journal of Business and Economic Statistics, 32(2), 2014, 271-284, (with A. Lucas and B. Schwaab).

 

Policy publications

"A New Early Warning Indicator of Financial Fragility in Sweden", Economic Commentaries, No. 1. 2017, Sveriges Riksbank, Sweden, (with P. Giordani and E. Spector).

Working papers and work in progress

“Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending”, Sveriges Riksbank Working Paper Series No. 319, April 2016, (with C. Bertsch and I. Hull).

 

“Tail Risk in Government Bond Markets and ECB Unconventional Policies”, (with B. Schwaab).

 

"Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails", (with D. Creal, S. J. Koopman and A. Lucas).

 

"Systemic Risk and Asset Prices", (with R Tédongap).

 

“Risk Spillovers Across ECB Unconventional Monetary Policies”, (with D. Caballero, A. Lucas, and B. Schwaab). 

 

 

Referee

Annals of Applied Statistics, Computational Statistics & Data Analysis, Empirical Economics, International Journal of Theoretical and Applied Finance, Journal of Applied Econometrics, Journal of Econometrics, Journal of Empirical Finance, Journal of International Money and Finance, Scandinavian Journal of Economics.