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Three essays on credit risk modeling.

Zhu, Zhongyan.

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Three essays on credit risk modeling.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Three essays on credit risk modeling./
作者:	Zhu, Zhongyan.
面頁冊數:	151 p.
附註:	Source: Dissertation Abstracts International, Volume: 70-12, Section: A, page: 4751.
Contained By:	Dissertation Abstracts International70-12A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3380143
ISBN:	9781109504132

Three essays on credit risk modeling.
Zhu, Zhongyan.

Three essays on credit risk modeling. - 151 p.

Source: Dissertation Abstracts International, Volume: 70-12, Section: A, page: 4751.

Thesis (Ph.D.)--Indiana University, 2009.

Credit risk a general term to describe default risk of corporate firms. Credit risk is measured by credit spreads. There are two major types of credit spreads that we can observe in the financial markets: corporate bond yield spreads and credit default swap (CDS) spreads. The three-essay dissertation focuses on how to better understand credit risk from the structural approach. The first two essays focus on corporate bond spreads. The third essay focuses on CDS spreads.

ISBN: 9781109504132Subjects--Topical Terms:

626650
Economics, Finance.

Three essays on credit risk modeling.
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245 1 0 $a Three essays on credit risk modeling.
300 $a 151 p.
500 $a Source: Dissertation Abstracts International, Volume: 70-12, Section: A, page: 4751.
500 $a Adviser: Craig W. Holden.
502 $a Thesis (Ph.D.)--Indiana University, 2009.
520 $a Credit risk a general term to describe default risk of corporate firms. Credit risk is measured by credit spreads. There are two major types of credit spreads that we can observe in the financial markets: corporate bond yield spreads and credit default swap (CDS) spreads. The three-essay dissertation focuses on how to better understand credit risk from the structural approach. The first two essays focus on corporate bond spreads. The third essay focuses on CDS spreads.
520 $a The first essay is titled as Can the Performance of Structural Corporate Bond Models Be Improved? Essay one has proposed an alternative model to price risky corporate bonds with three default risk determinants. I measure default probability by three types of non-Gaussian distribution, propose two types of recovery rate, and consider both non-early default and early default. The model has improved current model performance by 50%.
520 $a The second essay is titled as Average Early Default Time and Its Contribution to Structural Models. Essay two has revealed a relationship between whether an early default is expected by the market and how to choose from two types of recovery rate based on early default expectation. Essay two sets up a connection from historical default probability, to average early default expectation, and to different recovery rates. This connection helps us empirically choose from two types of recovery rate ex ante and reduce model selection costs by 50%.
520 $a The third essay is titled as Pricing Credit Default Swaps with an Alternative Structural Measure. Essay three proposes a hybrid approach to price CDS spreads. The default probability is backed out by a reduced form model and measured by alterative structural measures proposed in Zhu (2008). This is an extension because the default probability by CDS spreads is forward looking and on the firm level. Empirical evidence shows that the majority of CDS spreads could be interpreted by firm default risk. The evidence also suggests that recovery rate be a source of risk as the default probability increases over certain level.
590 $a School code: 0093.
650 4 $a Economics, Finance. $3 626650
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773 0 $t Dissertation Abstracts International $g 70-12A.
790 1 0 $a Holden, Craig W., $e advisor
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790 1 0 $a Goodman, Victor $e committee member
790 1 0 $a Pool, Veronika $e committee member
790 $a 0093
791 $a Ph.D.
792 $a 2009
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3380143