27 Dec 2024
Dr. Ning Zhang, an Assistant Professor in the Department of Finance at the International Business School Suzhou (IBSS), Xi'an Jiaotong-Liverpool University, has been honored with the prestigious IFABS Best Paper Award at the 2024 International Finance and Banking Society (IFABS) Conference held in Shanghai. This accolade highlights Dr. Zhang's significant contributions to the advancement of financial risk management methodologies.
From left to right: Meng Tian, Dr. Ning Zhang, Dr. Eddie Gerba, Professor Meryem Duygun
Dr. Zhang's award-winning paper, "Measuring Model Risk for Market Risk Measures," presents a pioneering framework for evaluating model risk in Value-at-Risk (VaR) and Expected Shortfall (ES) metrics. The proposed methodology offers a comprehensive and robust approach to quantifying model risk by addressing both parameter estimation uncertainty and model specification risks, thereby providing valuable insights for practitioners and regulators alike.
The abstract of this paper presents a novel scoring function-based methodology for estimating model risk, with particular emphasis on the joint model risk of Value-at-Risk (VaR) and Expected Shortfall (ES) across diverse market risk models. This approach facilitates the quantification of model risk by incorporating both parameter estimation and model specification uncertainties. Simulation results validate the efficacy of this methodology in accurately capturing true model risk and underscore that model risk measures do not necessarily exhibit subadditivity. The proposed framework offers a practical tool for evaluating model risk in monetary terms, providing a direct comparison to other established risk measures within the financial industry.
The IFABS 2024 Shanghai Conference, scheduled from December 20 to 22, 2024, focused on the theme "Building a Resilient Financial Future: Technology and Innovation, Green Finance, and Sustainability." The conference invited submissions of empirical and theoretical research across various topics, including but not limited to artificial intelligence in finance, climate change and green finance, FinTech, financial stability, and sustainable finance. Consistent with IFABS tradition, the conference will honor exceptional research contributions through the IFABS Best Paper Award and the IFABS Best Ph.D. Paper Award.
For more information about the IFABS 2024 Shanghai Conference, please visit https://www.ifabs.org/ifabs2024shanghai.
27 Dec 2024