Zhan Shi

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing , 100083

China

  • Tsinghua University - PBC School of Finance

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    • Tel: 86-10-62780862
SCHOLARLY PAPERS

6

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SSRN CITATIONS
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32

CROSSREF CITATIONS

25

Scholarly Papers (6)

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1.

Specification Analysis of Structural Credit Risk Models

Downloads 284 (32,154)
Citation 40

Specification Analysis of Structural Credit Risk Models

Number of pages: 61 Posted: 04 Mar 2007 Last Revised: 10 Feb 2019
Jing-Zhi Huang, Zhan Shi and Hao Zhou
Pennsylvania State University - University Park - Department of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 284 (196,269)
Citation 15

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Structural Credit Risk Models, Credit Default Swap Spreads, High Frequency Equity Volatility, Consistent Specification Analysis, Pricing Error Diagnostics

2.

Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance

Number of pages: 98 Posted: 17 Mar 2010 Last Revised: 10 Nov 2021
Jing-Zhi Huang and Zhan Shi
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 762 (61,575)
Citation 1

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Bond excess returns, Unspanned predictability, Machine learning

3.

Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market

PBCSF-NIFR Research Paper
Number of pages: 67 Posted: 02 Mar 2020 Last Revised: 29 Oct 2020
Jing-Zhi Huang, Bibo Liu and Zhan Shi
Pennsylvania State University - University Park - Department of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 301 (185,799)
Citation 9

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Corporate credit spreads, Structural credit risk models, Commercial papers, Debt market liquidity

4.

Can structural credit risk models hedge interest rate risk in corporate bonds?

Number of pages: 76 Posted: 12 Feb 2016 Last Revised: 10 Aug 2020
Jing-Zhi Huang and Zhan Shi
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 275 (204,036)
Citation 1

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structural credit risk models, interest rate sensitivity puzzle, hedge ratios for corporate bond returns, dynamic term structure models, bond market liquidity

5.

Corporate Basis and Demand for U.S. Dollar Assets

WBS Finance Group Research Paper Forthcoming
Number of pages: 60 Posted: 02 Jun 2022 Last Revised: 27 Nov 2023
Grace Xing Hu, Zhan Shi, Ganesh Viswanath-Natraj and Junxuan Wang
PBC School of Finance, Tsinghua University, Tsinghua University - PBC School of Finance, Warwick Business School and University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School
Downloads 214 (260,405)

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U.S. Dollar Asset Demand, Credit Spread, Covered Interest Rate Parity, Financial Intermediaries

6.

The Global Credit Spread Puzzle

PBCSF-NIFR Research Paper
Number of pages: 212 Posted: 24 Sep 2019 Last Revised: 14 Mar 2024
Jing-Zhi Huang, Yoshio Nozawa and Zhan Shi
Pennsylvania State University - University Park - Department of Finance, University of Toronto and Tsinghua University - PBC School of Finance
Downloads 30 (849,821)

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Corporate credit spreads, Credit spread puzzle, Structural credit risk models, Endogenous Liquidity, Search, Credit default swaps, Fixed income asset pricing