Welcome
I am currently pursuing a Master’s degree in the Department of Finance and Investment at the School of Business, Sun Yat-sen University.
My primary research focus revolves around systemic risk, specifically examining the impact of asset securitization on systemic risk, the ways in which banks evade regulation through cross-holding practices in securitization, and determining the optimal approach to banking bailouts during periods of systemic risk. Throughout my journey, I have acquired knowledge on the application of advanced machine learning techniques to address these practical challenges. Notably, I have developed a Predict-Gradient-Optimization framework and successfully applied it to the problem of optimizing bank bailouts. Through the utilization of neural networks, I have effectively elucidated the relationship between rescue strategies and their respective outcomes, employing a fixed-point system based on the extended E-N model and ensuring the differentiability of the objective function. In addition to my expertise in systemic risk, I also possess a keen interest in macroeconomic modeling.
Education
- Master of Finance, School of Business, Sun Yat-sen University. Mentor: Shushang Zhu, Professor
- Bachelor of Financial Management, School of Business, Sun Yat-sen University.
Research
- Xiao S.H, Zhu S.S., Wu Y. Asset Securitization, Cross Holdings, and Systemic Risk in Banking. Journal of Financial Stability, 2023: 101140.
- Xiao S.H. Ma J.L., Xia L., Zhu S.S. Optimal Systemic Risk Bailout: A PGO Approach Based on Neural Network
Miscellanea
- You can find my GitHub page at this location.
- For my original videos and more, you can visit my Bilibili page.
- My personal WeChat Official account is named “言书界.” You can access it by clicking this link, copying and opening the website using WeChat.
Skills
- MATLAB, Python, Stata, Eviews, R
- Chinese(Native), English, Cantonese
Contact Information
You can reach me at sydyx2016@163.com.