Research interest

My research focuses on extreme value statistics and its applications in quantitative risk management, financial stability and financial regulation.

Working papers

1. Chen L. and Zhou, C. (2024) High dimensional inference for extreme value indices. https://arxiv.org/abs/2407.20491.

2. Wan, P. and Zhou, C. (2023) Graphical Lasso for Extremes. https://arxiv.org/abs/2307.15004.

3. Nolde, N., Zhou, C. and Zhou, M. (2022) An extreme value approach to CoVaR estimation. https://arxiv.org/abs/2201.00892.

4. Kiriliouk, A. and Zhou, C. (2022) Estimating probabilities of multivariate failure sets based on pairwise tail dependence coefficients. https://arxiv.org/abs/2210.12618.

5. Oorschot, J. and Zhou, C. (2020) All Block Maxima method for estimating the extreme value index. https://arxiv.org/abs/2010.15950.

6. Schindelhauer, K. and Zhou, C. (2018) Value-at-Risk prediction using option-implied risk measures. DNB Working Paper, No. 613.

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