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Jianjian Jin

Senior Analyst

Jianjian Jin is a Senior Analyst in the Research Division of the Funds Management and Banking Department at the Bank of Canada. His primary research interests are the impact of macroeconomy and unconventional central bank policy on returns in financial markets and investors’ asset allocation. He has also worked on topics such as stochastic volatility consumption-based asset pricing models, variance risk premium puzzles, etc. Jianjian received his Ph.D. in economics from Northwestern University.

Latest

16 May 2013 Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

Bank of Canada Review - Spring 2013 Francisco Rivadeneyra, Jianjian Jin, Narayan Bulusu, Lukasz Pomorski

The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities.

Content Type(s): Publications, Bank of Canada Review Article Topic(s): Debt Management, Foreign reserves management JEL Code(s): F, F3, F31, G, G1, G11, G18

Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics

Staff Working Paper 2013-12 Jianjian Jin

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.

Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Economic models JEL Code(s): G, G1, G12, G17

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Other publications

"Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics", Review of Finance, 2015, Volume 19 (3), Pages 1223-1279.

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Asset pricing
Macro-financial term structure modeling
Asset allocation

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Jianjian Jin

Senior Analyst

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Jianjian Jin

Senior Analyst

16 May 2013 Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

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