Contact:

Room B501
Columbia House
Department of Statistics
London School of Economics
Houghton Street
London, WC2A 2AE
United Kingdom

Email: H.Zhao1 (at) lse.ac.uk

I am a final-year PhD student supervised by Dr. Angelos Dassios in the Risk and Stochastics Group of the Department of Statistics at London School of Economics.

Research Interests: Mathematical Finance

• point processes with contagion with applications to finance and insurance; dependence structure: correlation, copula, contagion;

• portfolio credit risk management and strategy: pricing, hedging, rating; interaction of market and credit risk; economic capital.

PhD Thesis: A Dynamic Contagion Process - for Modelling Contagion Risk in Finance and Insurance (abstract)

Papers:

• A Dynamic Contagion Process, 2009, with Angelos Dassios (working paper version)
  - published by Advances in Applied Probability 43(3), 814-846, 2011
  - presented at 6th World Congress of the Bachelier Finance Society Toronto Jun 2010

• Ruin by Dynamic Contagion Claims, 2010, with Angelos Dassios (working paper version)
  - published by Insurance: Mathematics and Economics 51(1), 93-106, 2012
  - presented at Risk and Stochastics Day London Mar 2011

• Ruin by Delayed Claims, 2011, with Angelos Dassios (working paper version)
  -under review at ASTIN Bulletin - The Journal of the International Actuarial Association

• A Markov Chain Model for Contagion, 2011, with Angelos Dassios
  - submitted to Annals of Applied Probability

• Portfolio Credit Risk of Default and Spread Widening, 2011
  - awarded the First Prize of the Deutsche Bank Award in Financial Risk Management and Regulation 2012
  - in Proceedings of Australasian Finance and Banking Conference 2011
  - selected to be refereed for the special issue of the Journal of Banking and Finance on Markets, Financial Stability and Governance
  

• A Dynamic Contagion Process with Diffusion, 2012, with Angelos Dassios
  - in progress

Teaching:

• 2009 - 2011 ST202: Probability, Distribution Theory and Inference (Help Session)
• 2009 - 2010 ST102: Elementary Statistical Theory (Class)

Presentation:

• Feb 2012 A Dynamic Contagion Process, Mathematical and Computational Finance Group, University of Oxford
• Dec 2011 Portfolio Credit Risk of Default and Spread Widening, 24th Annual Australasian Finance and Banking Conference, Sydney
• Jun 2011 Risk Process with Dynamic Contagion Claims, London School of Economics
• Mar 2011 A Dynamic Contagion Process and its Applications to Credit Risk and Ruin Theory, Risk and Stochastics Day, London
• Jun 2010 Point Processes with Contagion and an Application to Credit Risk, 6th World Congress of the Bachelier Finance Society, Toronto
• Mar 2010 Point Processes with Contagion and an Application to Credit Risk, London Graduate School in Mathematical Finance
• Jun 2009 Dynamic Contagion Process and Its Application in Credit Risk, London School of Economics

Personal Interests: art, calligraphy, photography, travelling, computer art design, classical music, chess, badminton, table tennis, basketball.

My ART Gallery @ Flickr

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