主讲人Speaker: 方翔   助理教授    香港大学经济管理学院

时间Date & Time: 2025年6月13日（周五），上午10:00--11:30

地点Venue:粤海校区汇星楼565会议室

内容简介/ Abstract:

We develop a novel approach to quantify the risk premia compensation for exposure to cojumps in foreign exchange rates and stock market indices. Utilizing currency quanto contract, we construct a self-financing portfolio that is only exposed to the exchange rate and stock market cojump risks and measure the average return of this portfolio as the associated risk premia. We find that the difference between high- and low-interest-rate currencies' cojump risk premia is small compared to currency risk premia, in sharp contrast to the implications of standard rare disaster models.

主讲人介绍/Biography of the speaker：

方翔，香港大学经济管理学院金融学助理教授。2019年获得宾夕法尼亚大学经济学博士学位，他的研究领域涵盖国际金融、资产定价及其与宏观经济的关联，尤其关注金融中介机构在经济运行中的关键作用。他的研究成果发表在Journal of Financial Economic、 Journal of Banking & Finance等国际一流期刊上。