19 citations · 20 across the 4 of their papers we have counts for
5 papers
Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning
Chuting Sun, Qi Wu, Xing Yan
The dynamic portfolio construction problem requires dynamic modeling of the joint distribution of multivariate stock returns. To achieve this, we propose a dynamic generative facto…
Risk and return prediction for pricing portfolios of non-performing consumer credit
Siyi Wang, Xing Yan, Bangqi Zheng +4
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the n…
The Causal Learning of Retail Delinquency
Yiyan Huang, Cheuk Hang Leung, Xing Yan +4
This paper focuses on the expected difference in borrower's repayment when there is a change in the lender's credit decisions. Classical estimators overlook the confounding effects…
Generative Learning of Heterogeneous Tail Dependence
Xiangqian Sun, Xing Yan, Qi Wu
We propose a multivariate generative model to capture the complex dependence structure often encountered in business and financial data. Our model features heterogeneous and asymme…
Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning
Xing Yan, Weizhong Zhang, Lin Ma +2
We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic…