周皓博士現任清華大學五道口金融學院副院長、紫光講席教授。在加入五道口金融學院之前，周皓曾擔任美國聯邦儲備委員會風險分析部高級經濟學家，負責監管系統性重要的金融機構並向聯儲董事會提供有關巨觀審慎監管政策的建議。周教授曾擔任麻省理工學院斯隆管理學院和北京大學中國經濟研究中心訪問教授。周教授於2000年畢業於美國杜克大學，獲得經濟學博士學位。此前獲得了北京大學管理學碩士學位和經濟學學士學位。
周皓教授的研究領域包括以消費為基礎的隨機波動資產定價模型、信用風險的結構化模型與信用衍生品市場、金融市場波動性和收益的預測、動態利率期限結構、金融市場的跳躍性與資產定價之謎、國際風險溢價動態模型、金融機構的系統性風險和巨觀審慎監管。周教授的研究成果發表於國際一流學術期刊，如《金融學期刊》、《金融研究評論》、《計量經濟學期刊》、《商業及經濟統計學期刊》、《金融及銀行學期刊》、《金融計量經濟學期刊》等。
周皓教授的研究成果近年來獲得了多項國際性學術和專業的獎勵。其中包括Whitebox資產管理公司授予的年度最佳金融研究論文獎、中國金融國際年會最佳論文獎、PanAgora資產管理公司授予的克羅威爾紀念獎章、芝加哥數量投資協會學術競賽獎、澳大利亞金融和銀行業會議頒發的“銀行視野”獎、全球風險管理協會研究獎以及英國皇家學院對沖基金研究獎等。
基本介紹
- 中文名：周皓
- 畢業院校：北京大學，杜克大學
- 學位/學歷：杜克大學經濟學博士
- 職務：清華大學五道口金融學院副院長，國家金融研究院副院長
- 主要成就：紫光講席教授
教育背景,工作經歷,主要研究領域,講授課程,學術兼職,榮譽及獎項,發表成果,期刊論文,工作論文,專業組織成員,會議組織者,專業活動,會議和研討會,政策演講,學術期刊評審人,
教育背景
1994-2000 美國杜克大學，經濟學，博士學位
1989-1993 北京大學光華管理學院，管理學，碩士學位
1985-1989 北京大學，國際經濟學，學士學位
工作經歷
2015 至今 清華大學五道口金融學院，副院長
2014 至今 清華大學國家金融研究院，副院長
2013 至今清華大學五道口金融學院，紫光講席教授
清華大學貨幣政策與金融穩定研究中心，主任
2006-2013 美國聯邦儲備委員會風險分析部，高級經濟學家
2000-2006 美國聯邦儲備委員會交易風險分析部，經濟學家
1999-2000 美國杜克大學經濟系，講師
1993-1994 中國國務院研究發展中心，顧問
1989-1990 中國廣西省南丹縣，行政官員
主要研究領域
以消費為基礎的隨機波動資產定價模型
信用風險的結構化模型與信用衍生品市場
金融市場波動性和收益的預測
消費期限結構模型與通貨膨脹的不確定性
金融市場的跳躍性與資產定價之謎
國際風險溢價動態模型和全球經濟不確定性
中國金融市場
金融機構的系統性風險和巨觀審慎監管
講授課程
清華大學五道口金融學院：實證金融，貨幣政策和金融穩定
杜克大學：金融市場和投資，計量經濟學導論
學術兼職
2009年2月 技術顧問，國際清算銀行（香港）
2007年秋 訪問教授，麻省理工學院斯隆管理學院
2005年9月 訪問教授，北京大學中國經濟研究中心
榮譽及獎項
1. Best Teaching and Mentoring Award (for graduate students), Tsinghua University, 2014
2. Thousand Talents Program, China, 2014.
3. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and RealizedVolatilities,” with Tim Bollerslev and Mike Gibson, Whitebox Selected Research Best Financial Research Paper finalist, 2012.
4. “Predicting Stock Returns with Variance Risk Premia: Statistical Inference and International Evidence,” with Tim Bollerslev, James Marrone, and Lai Xu, China International Conference in Finance Best Paper Award, 2011.
5. “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” Crowell Memorial Prize 3rd Place by PanAgora Asset Management, 2010.
6. “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” Chicago Quantitative Alliance (CQA) Academic Competition Award 3rd Place, 2009.
7. “Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis,” with Xin Huang and Haibin Zhu, BankScope Best Paper Prize of the 22nd Australasian Finance and Banking Conference,2009.
8. “Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou, Global Association of Risk Professionals (GARP) Research Proposal Award, 2009.
9. “Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou, Imperial College London Centre for Hedge Fund Research (CHFR) Research Proposal Award, 2009.
10. “A Framework for Assessing the Systemic Risk of Major Financial Institutions,” with Xin Huang and Haibin Zhu, Bocconi Centre for Applied Research in Finance (CAREFIN) Research Proposal Award, 2008.
11. “Short Course on Asset Pricing Puzzles,” China Center for Economic Research (CCER) of Peking University, Oversea Young Chinese Forum (OYCF) Gregory C. and Paula K. Chow Teaching Fellowship, 2005.
發表成果
期刊論文
1.“Risk, Uncertainty, and Expected Returns,” with Turan Bali, Journal of Financial and Quantitative Analysis, forthcoming, 2015.
2. “Stock Return and Cash Flow Predictability: the Role of Volatility Risk,” with Tim Bollerslev and Lai Xu, Journal of Econometrics, forthcoming, 2015.
3.“Predicting Stock Returns with Variance Risk Premia: Statistical Inference and International Evidence,” with Tim Bollerslev, James Marrone, and Lai Xu, Journal of Financial and Quantitative Analysis, vol. 49, pages 633-661, 2014.
4.“Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou, Journal of Banking and Finance, vol. 37, pages 3733-3746, 2013.
5.“Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis,” with Xin Huang and Haibin Zhu, Journal of Financial Stability, vol. 8, pages 193-205, 2012.
6. “Systemic Risk Contributions,” with Xin Huang and Haibin Zhu, Journal of Financial Services Research, vol. 42, pages 55-83, 2012.
7. “Realized Jumps on Financial Markets and Predicting Credit Spreads,” with George Tauchen, Journal of Econometrics, vol. 160, pages 235-245, 2011.
8.“Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities,” with Tim Bollerslev and Mike Gibson, Journal of Econometrics, vol. 160, pages 102-118, 2011.
9.“Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms,” with Ben Zhang and Haibin Zhu, Review of Financial Studies, vol. 22, pages 5099-5131, 2009.
10. “Bond Risk Premia and Realized Jump Risk,” with Jonathan Wright, Journal of Banking and Finance, vol. 33, pages 2333-2345, 2009.
11. “A Framework for Assessing the Systemic Risk of Major Financial Institutions,” with Xin Huang and Haibin Zhu, Journal of Banking and Finance, vol. 33, pages 2036-2049, 2009.
12. “Expected Stock Returns and Variance Risk Premia,” with Tim Bollerslev and George Tauchen, Review of Financial Studies, vol. 22, pages 4463-4492, 2009.
13. “Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions,” with Tim Bollerslev, Journal of Econometrics, vol. 131, pages 123-150, 2006.
14. “Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle,” with Ravi Bansal and George Tauchen, Journal of Business and Economic Statistics, vol. 22, pages 396-409, 2004.
15. “Ito Conditional Moment Generator and the Estimation of Short Rate Processes,” Journal of Financial Econometrics, vol. 1, pages 250-271, 2003.
16. “Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility,” with Tim Bollerslev, Journal of Econometrics, vol. 109, pages 33-65, 2002.
17. “Term Structure of Interest Rates with Regime Shifts,” with Ravi Bansal, Journal of Finance, vol. 57, pages 1997-2043, 2002.
18. “Finite Sample Properties of EMM, GMM, QMLE, and MLE for a Square-Root Interest Rate Diffusion Model,” Journal of Computational Finance, vol. 2, pages 89-122, 2001.
19. “Rural-Urban Disparity and Sectoral Labor Allocation in China,” with Dennis Tao Yang, Journal of Development Studies, vol. 35, pages 105-133, 1999.
20. “Comment - Systemic Risks and the Macroeconomy,” by Gianni De Nicolò, Marcella Lucchetta, NBER Book Quantifying Systemic Risk, Joseph G. Haubrich and Andrew W. Lo editors, forthcoming.
21. "Comment - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes,” by Garland B. Durham and A. Ronald Gallant, Journal of Business and Economic Statistics, vol. 20, pages 332-335, 2002.
工作論文
1. “Good Jumps, Bad Jumps, and Conditional Equity Premium,” with Hui Guo and Kent Wang, Tsinghua University PBC School of Finance, 2015.
2. “Belief Uncertainty, Volatility Risk Premium, and Speculative Trading” with Ming Guo, Tsinghua University PBC School of Finance, 2014.
3. “Stock Return Volatilities and Capital Structure Decisions,” with Hui Chen and Hao Wang, Tsinghua University PBC School of Finance, 2014.
4.“Do Behavioral Biases Affect Order Aggressiveness?” with Jiangze Bian, Kalok Chan, and Donghui Shi, Tsinghua University PBC School of Finance, 2013.
5. “The Systemic Risk of European Banks during the Financial and Sovereign Debt Crises,” with Lamont Black, Ricardo Correa, and Xin Huang, Federal Reserve Board, 2012.
6.“Variance Risk Premiums and the Forward Premium Puzzles,” with Juan M. Londono, Federal Reserve Board, 2012.
7.“Ambiguity Aversion and Variance Premium,” with Jianjun Miao and Bin Wei, Federal Reserve Board, 2012.
8.“Short-Run Bond Risk Premia,” with Philippe Mueller and Andrea Vedolin, Federal Reserve Board, 2011.
9.“Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” Working Paper, Federal Reserve Board, 2009.
10. “Specification Analysis of Structural Credit Risk Models,” with Jingzhi Huang, Working Paper, Federal Reserve Board, 2008.
11. “Effect of Liquidity on the Nondefault Component of Corporate Bond Spreads: Evidence from Intraday Transactions Data,” with Song Han, Federal Reserve Board, 2008.
專業組織成員
AEA, AFA,WFA.
會議組織者
2014.7 中國國際金融年會- China International Conference in Finance Program Co-Chair, July 2012, Chengdu, China
2012.6 新加坡國立大學 第六屆風險管理年會-Risk Management Responses to Rising Systematic and Systemic Risks
2008.3 阿姆斯特丹 巴塞爾銀行監管委員會管理研究工作組會議-Stress Testing of Credit Risk Portfolio: The Linkbetween Macro and Micro, March 2008, Amsterdam
2007.3 華盛頓 美聯儲會議-Credit Risk and Credit Derivatives
2005.7 華盛頓 美聯儲會議-Financial Market Risk Premiums-Time Variations and Macroeconomic Links
專業活動
會議和研討會
(合著c, 討論d)
2015: AFA Meeting in Boston.
2014: Econometric Society Meeting in Philadelphia, McGill/IFM2 Financial Risk Management Conference in Monte Tremblantc, Midwest Finance Association Meetingc, 14th Annual Missouri Economics Meetingc, Luxembourg School of Finance and European Investment Bank Joint Seminarc, 3rd University of South Carolina Fixed Income Conferencec, China International Conference in Finance in Chengdu, Moody’s China Academic Advisory Panel Meeting.
2013：AFA Meeting in San Diego (2 papers)c,d, Federal Reserve ASSA Day-Ahead Financial Markets & Institutions Conferencec, Cass Business School Mini Conference on Systemic Risk Contagion and Jumpsc, University of Chicago Workshop on Ambiguity and Robustness in Macroeconomics and Financec, QFE Seminar Series at NYU Sternc, 12th Annual Darden International Finance Conferencec, Tsinghua Finance Workshopd, WU Gutmann Center Symposium 2013 on Sovereign Credit Risk and Asset Management in Viennac, Second Symposium on China’s Financial Markets at Peking University, China International Conference in Finance in Shanghai, Risk Management Conference at National University of Singaporec, Federal Reserve Board, FSID and Bank of Canada Second Conference on Derivatives: Tail Riskc, Peking University Guanghua School of Management, Australian Finance and Banking Conference (PhD Forum) d.
2012: McGill/IFM2 Financial Risk Management Conference in Monte Tremblantc, Finance Down Under Conference in Melbourne, FDIC Annual Derivative and Risk Management Conference, Volatility Institute Conference at NYU Stern, Five Star Financial Forum in Beijingc, Mitsui Finance Symposium on Financial Market Implications of the Macroeconomyd, BI Norwegian Business School Workshop on Time-Varying Expected Returns, Symposium on China’s Financial Markets in Beijingd, China International Conference in Finance in Chongqing, Risk Management Conference at National University of Singaporec, Singapore International Conference on Finance, European Summer Symposium in Financial Markets in Gerzensee, Federal Reserve Bank of San Franciscoc, Euro Area Crisis Research Workshop at the International Finance Division of Federal Reserve Boardc, G20 Conference on Financial Systemic Risk at Istanbulc, University of California at Santa Cruzc, FDIC Annual Bank Research Conferencec, Federal Reserve Bank of New York, CARFIN-Bocconi Conference on the Effect of Tighter Regulation Requirements on Bank Profitability and Risk-Taking Incentives in Milanc, Peking Universityc, Tsinghua Universityc, Cheung Kong GSBc, City University of Hong Kongc, Hong Kong University of Science and Technologyc, Seventh Imperial College London’s Conference on Advances in the Analysis of Hedge Fund Strategies, Georgetown University, University of International Business and Economics.
2011: AFA Meeting in Denverc, Bank of Korea-BIS Conference on Macroprudential Regulation and Policy in Seoul, Notre Dame University, FDIC Annual Derivative and Risk Management Conference, Volatility Institute Conference at NYU Stern, Duke University, Hong Kong University of Science and Technology, Shanghai Advanced Institute of Finance, China International Conference in Finance in Wuhan, Risk Management Conference at National University of Singapore, Deutsche Bundesbank Conference on Basel III and Beyond-Regulating and Supervising Banks in the Post-Crisis Era, Federal Reserve Bank of New York and NYU Global Systemic Risk Conferencec, Sixth Imperial College London’s Conference on Advances in the Analysis of Hedge Fund Strategies.
2010: University of Texas at Dallas, University of Wisconsin Madison, UBC Winter Finance Conference in Vancouver, McGill/IFM2 Financial Risk Management Conference in Monte Tremblant, University of Calgary, Bank Structure and Competition Conference in Chicago, Fields Institute Industrial-Academic Forum on Systemic Stability and Liquidity in Toronto, IMF Conference on Operationalizing Systemic Risk Monitoring, Empirical Asset Pricing Retreat in Amsterdam, China International Conference in Finance in Beijing, Emerging Markets Finance Conference at Tsinghua University, Risk Management Conference at National University of Singapore, Baruch College, Rice University, Texas A&M University, 10th Annual Bank Research Conference at FDIC, Conference of Financial Economics and Accountingd.
2009: AFA Meeting in San Francisco (2 papers), Bank for International Settlement (Hong Kong), Symposium on Housing Loan Portfolio Stress Testing in Beijing Sponsored by IFC and China Banking Regulatory Commission, Qinghua University, Federal Reserve Bank of Kansas City, University of Kansas, Federal Reserve Bank of San Francisco, East China University of Science and Technology, China International Conference in Finance in Guangzhou, Risk Management Conference at National University of Singapore, Hanqing Advanced Institute at Renmin University, Chicago Quantitative Alliance Fall Conference, University of Texas at Dallas, Journal of Investment Management Fall Conference on the Future of Risk Management in Boston, Duke University, NBER-FRB Conference on Quantifying Systemic Risk in Bostond, Anniversary Conference of Financial Economics and Accounting in New Brunswick, The Chinese Finance Association Meeting in New York, Purdue University.
2008: AFA (2 papers) and Econometric Society Meetings in New Orleans, Rutgers University, China Financial Risk Managers Forum in Beijing, People’s Bank of China, Peking University, Qinghua University, Federal Reserve System Committee Meeting on Financial Structure and Regulation in Boston, Conference of Financial Markets and Real Activity at Banque de France, Third Imperial College London’s Conference on Advances in the Analysis of Hedge Fund Strategies, Conference on Financial Markets at Cass Business School London, International Monetary Fund.
2007: AEA and Econometric Society Meetings in Chicago, Conference on Return Predictability at Copenhagen Business School, Utah Winter Finance Conference in Salt Lake City, Montreal Financial Econometrics Conferenced, Federal Reserve Conference on Credit Risk and Credit Derivatives, Workshop on Economic Analysis of High-Frequency Data and the Impact of Economic News at Stanford University, China International Conference in Finance in Chengdu, NBER Summer Institute (Asset Pricing), MIT Sloan School of Management.
2006: AFA and Econometric Society Meetings in Boston, McGill/IFM2 Conference on Risk Management in Montreald, CIREQ Conference on Realized Volatility at Montreal, FDIC Annual Derivative and Risk Management Conference, China International Conference in Finance in Xi’an, Far Eastern Meeting of the Econometric Society in Beijing.
2005: FDIC Annual Derivative and Risk Management Conference, Conference on Time-Varying Financial Structures in Venice, Federal Reserve Conference on Financial Market Risk Premiums, Peking University, Bank for International Settlement.
2003: University of Arizona, Symposium of New Frontiers in Financial Volatility Modeling in Florence, Econometric Society Summer Meeting in Chicago, CIREQ Conference of Realized Volatility in Montreal.
2001: Workshop on Modeling, Estimating and Forecasting Volatility in Montreal, WFA Meeting in Tucson, NBER Market Microstructure Meeting, Joint Statistical Meeting in Atlantad.
2000: Econometric Society Meeting in Boston, Brown University, Michigan State University, University of Virginia, Federal Reserve Board, NBER Summer Institute (Forecasting and Empirical Methods in Macro and Finance), WFA Annual Meeting in Idaho, Duke University Conference on Risk Neutral and Objective Probability.
1999: Society for Nonlinear Dynamics and Econometrics Meeting in New York, Econometric Society Summer Meeting in Madison, FMA Meeting in Orlando.
政策演講
2014: “The Great Wall of Debt – Cross-Sectional Determinants of Chinese Local Government Obligations,” London School of Economics and Mizuho Joint Workshop.
2014: "The Positive Effects of Structural Monetary Policy,” Financial Times (in Chinese online), Western China Finance Forum.
2014: "Central Bank Independence,” 70th Anniversary Conference on the Bretton Woods System.
2014:“China’s Shadow Banking,” Joint PBoC/IMF Conference on Monetary Policy.
2013:“QE Exit Effect on China’s Economy,” PBoC’s Monetary Policy Committee.
學術期刊評審人
American Economic Review, Econometrica, Economic Theory, European Financial Management, International Journal of Central Banking, Finance Research Letters, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business and Economic Statistics, Journal of Credit Risk, Journal of Econometrics, Journal of Economic and Dynamic Control, Journal of Empirical Finance, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Econometrics, Journal of Financial Markets, Journal of Financial Stability, Journal of Futures Markets, Journal of International Money and Finance, Journal of Money, Credit, and Banking, Management Science, Pacific-Basin Finance Journal, Review of Financial Studies.
