一、主题：Risk Management Under Noisy Observations

二、主讲人: 宋晓军，北京大学光华管理学院商务统计与经济计量系助理教授，西班牙马德里卡洛斯三世大学经济学博士。主要研究兴趣是理论计量经济学，包括非参数、半参数方法、假设检验和自助法，以及计量经济学的应用等。

三、时间：2018年12月10号（周一），13:30-14:30

四、地点：学院南路校区主教学楼913会议室

五、主持人：王辉，必赢565net官网教授

六、资助： 中央财经大学专题学术讲座项目资助

Abstract: In this paper, we provide an estimation of the Value-at-Risk and Expected Shortfall that captures the effects of market microstructure noise on a latent portfolio return. It is well known that noise can cause serious problems in estimating risk. Using a deconvolution kernel estimator for the conditional probability distribution function of the unobserved portfolio return, we propose an analytical approximation for conditional Value-at-Risk (VaR) and a closed-form solution for conditional Expected Shortfall(ES). We investigate in both simulation experiments and an empirical application the performance of our proposed implementation.