胡杏，女，博士，清華大學副教授。
基本介紹
- 中文名：胡杏
- 學位/學歷：博士
- 職業：教師
- 專業方向：資產流動性信貸風險
- 任職院校：清華大學
個人經歷,研究方向,學術成果,
個人經歷
工作經歷
2019.7至今 清華大學五道口金融學院，副教授
2011.7-2019.6 香港大學，金融學助理教授
教育背景
2011 普林斯頓大學，經濟學，博士學位
2008普林斯頓大學，經濟學，碩士學位
2004西北大學，計算機科學，碩士學位
2002中國科學技術大學，學士學位（少年班）
教學經歷
Risk Management, 2011 – 2018, Master of Finance, HKU
Advanced Option Pricing Models, 2014 – 2018, Master of Finance, HKU
Quantitative Risk Management, 2011 – 2014, Undergraduate, HKU
Summer Math Camp for Master in Finance Program, 2009, Master of Finance, Princeton University
Teaching evaluations: average of 87/100 in the past three years; average of 75/100 for all courses
專業服務
Journal referee: Journal of Finance; Review of Financial Studies; Management Science; Review of Finance; Journal ofEmpirical Finance; Journal of Financial and Quantitative Analysis; Journal of Banking and Finance; Annual Review ofFinancial Economics; Journal of Financial Markets; Journal of Money, Credit and Banking
研究方向
資產流動性
信貸風險
市場異常
金融危機
高頻交易
實證資產定價
學術成果
期刊發表
Noise as Information for Illiquidity,Journal of Finance, Volume 68, page 2223 – 2772, 2013 (with Jun Pan andJiang Wang)
Early Peak Advantage? Efficient Price Discovery with Tiered Information Disclosure,Journal of FinancialEconomics, Volume 126, pages 399-421,2017 (with Jun Pan and Jiang Wang)
Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (I),SIAM/ASA Journal on UncertaintyQuantification, Volume 6, pages 34-60, 2018 (with Yong Zeng and David Kuipers)
Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (II),SIAM/ASA Journal on UncertaintyQuantification, volume 6, pages 61-86, 2018 (with Yong Zeng and David Kuipers)
Fama-French in China, Size and Value Factors in Chinese Stock Returns,International Review of Finance, 2019,volume 1, pages 3-44 (with Can Chen, Yuan Shao, and Jiang Wang)
Tri-party Repo Pricing,Journal of Financial and Quantitative Analysis, Forthcoming, 2019 (with Jun Pan and JiangWang)
工作論文
Premium for Heightened Risk: Solving the FOMC Puzzle (with Jun Pan, Jiang Wang, and Haoxiang Zhu), WorkingPaper
First draft 2018
Dividend Announcement Effect in Chinese Market (with Cathy Fang and Jiang Wang)
First draft 2015, under revision, conference presentation: CICF 2015
Chinese Capital Market: An Empirical Overview (with Jun Pan and Jiang Wang), NBER Working Paper
First draft 2018
論文最新進展
Corporate Bond Illiquidity and Dealers’ Intermediation, working in progress, 2018
Co-movement and Volatility in Chinese Stock Mark, working in progress, 2018
著作章節
Filtering with Counting Process Observations and Other Factors: Applications to Bond Price Tick Data (with DavidKuipers and Yong Zeng).
Stochastic Analysis, Stochastic Systems and Application to Finance.
Edited by Allanus Tsoi, David Nualart and George Yin, World Scientific, Singapore, page 133-162, 2011
科研項目
Arbitrage Spreads and Aggregate Liquidity,Early Career Scheme, PI, competitive grant of HKD$456K, 2012 –2014
Tri-party Repo Pricing,General Research Fund, PI, competitive grant of HKD $512K, 2014 – 2016
Supply Chain, News and Post-Earnings Announcement Drift,General Research Fund, co-PI, competitive grant ofHKD $478K, 2017-2019
The CDS-Bond Basis and Liquidity Risk, PI,HKU Seed Funding, $120K, 2011 – 2013
學術演講
Hong Kong University of Science and Technology; City University of Hong Kong; Boston University; Ohio StateUniversity; McGill University; Cheung Kong Graduate School of Business; PBC School of Finance; Peking University;AFA; WFA; CICF; SIF; Macquarie Global Quantitative Conference; VINS
