University of Shanghai for Science and Technology
Shu Wu received her Ph.D. in financial engineering from the College of Economics and Management at Nanjing University of Aeronautics and Astronautics in 2011. Since 2013, she has been with Department of International Economics and Trade of Sino-German College, University of Shanghai for Science and Technology (USST), China where she is a lecturer and has received several teaching excellence awards.
Her research interests include optimal estimation, financial engineering and fixed income securities, financial engineering and risk management, filtering theory and its application, time series analysis, etc. In recent years, she has published papers in core journals at home and abroad and hosted university level teaching research projects.
The authors use a parametric estimation for CoVaR and compare the goodness-of-fit and backtesting of AEPD with other commonly used distributions using data from the Chinese banking sector from 2008-2019.