On the morning of March 19th,2017,Professor Jianqing Fan from Department of Operations Research & Financial Engineering in Princeton University visited our department and brought an academic lecture named “Validating Market Risk Factors and Forecasting Bond Risk Premiausing Novel Factor Models”. The dean,Prof.Ying Fan, associate professor Bu Hui,other teachers and more than 30 postgraduate students also attended thelecture. And Professor Li Ping chaired the conference.
Professor Jianqing Fan, who makes a great contribution to and has an influence in the world, is the tenured professor of finance in Princeton University, anacademician of Taiwan Central Research Institute and the international authority on non parametric modeling and high dimensional complex data modeling.Because of his important contribution to statistics, he has won a number of awards such as the COPSS award in 2000, lifetime achievement award of theHumboldt Foundation in 2006, “Chenxing prize in Mathematics Application” in2007, and GUGENHEIM Fellow in 2009. He also gave a 45-minute lecture at theinternational congress of mathematicians in 2006. He has served as the editorand associate editor of a number of well-known international journals,including Journal of Econometrics, Journal of American Statistical Association,Annals of Statistics, Probability Theory and Related Fields, Econometrics Journal,Econometrica, and Journal of Financial Econometrics, etc.
Inthe report, Professor Fan elaborated their factor model and two-stageestimation method from the significance and motivation of the topic, model building and empirical applications, etc.: firstly, focus on the observations,and then analyzed principal component of the computed data and estimate theload coefficient and factors. In the empirical part, they use the model to predict the risk premium of U.S. Treasury bonds, proving that the observed macroeconomic features include the strong explanatory power of the factors.Finally, Professor Fan and the teachers and students here had a warm exchangeanddiscussion. The report would benefit teachers andstudents remarkably.