Research

Research interest

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

Working papers

• Einmahl, J.H.J. and Zhou, C. (2026) Trends in tail dependence of heteroscedastic extremes. [arxiv]
• Chen, L., Oesting, M. and Zhou, C. (2025) Clustering tails in high dimension. [arxiv]
• Wan, P. and Zhou, C. (2023) Graphical Lasso for extremes. [arxiv]
• Kiriliouk, A. and Zhou, C. (2022) Estimating probabilities of multivariate failure sets based on pairwise tail dependence coefficients. [arxiv]
• Oorschot, J. and Zhou, C. (2020) All block maxima method for estimating the extreme value index. [arxiv]
• Schindelhauer, K. and Zhou, C. (2018) Value-at-Risk prediction using option-implied risk measures. DNB Working Paper, No. 613.