Research interest

My research focuses on Extreme Value Theory (EVT) and its applications in economics and finance. Particularly, I focus on applying EVT to financial risk management, financial stability analysis and measuring systemic risk.

Working papers

  1. Ahmed, H., Einmahl, J. and Zhou, C. (2021) Extreme Value Statistics in Semi-Supervised Models. CentER Discussion Paper. 2021-007.
  2. Oorschot J. and Zhou, C. (2020) All Block Maxima method for estimating the extreme value index. Submitted.
  3. de Haan, L. and Zhou, C. (2020) Bootstrapping Extreme Value Estimators. Submitted.
  4. de Haan, J., Jin, Z. and Zhou, C. (2019) Micro-prudential regulation and banks’ systemic risk. DNB Working Paper No. 656.
  5. Heijmans, R. and Zhou, C. (2019) Outlier detection in TARGET2 risk indicators. DNB Working Paper No. 624.
  6. Schindelhauer, K. and Zhou, C. (2018) Value-at-Risk prediction using option-implied risk measures. DNB Working Paper, No. 613. Submitted.
  7. Cui, H., Tan, K.S., Yang, F. and Zhou, C. (2017) Asymptotic analysis of portfolio diversification. Submitted.
  8. Muns, S. and Zhou, C. (2016) The impact of bank size, capital structure and asset dependence on social welfare. Working paper.
  9. Xiao, X. and Zhou, C. (2016) Entropy-based implied volatility and its information content. DNB Working Paper No. 581.
  10. Danielsson, J. and Zhou, C. (2015) Why risk is so hard to measure? DNB Working Paper No. 494.
  11. Moore, K., Sun, P., de Vries, C.G. and Zhou, C. (2013) The Cross-Section of Tail Risks in Stock Returns. Working paper.
  12. Moore, K. and Zhou, C. (2012) “Too big to fail” or “Too non-traditional to fail”? The determinants of banks' systemic importance. DNB Working Paper No. 347.
  13. Galati, G. Lewis, J., Poelhekke, S. and Zhou, C. (2011) Have market views on the sustainability of fiscal burdens influenced monetary authorities' credibility? DNB Working Paper No. 304.
  14. Garita, G. and Zhou, C. (2009) Can open capital markets help avoid currency crises? DNB Working Paper No. 205.

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