Jinggang Huang

affiliation not provided to SSRN

SCHOLARLY PAPERS

4

DOWNLOADS

365

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Finding Stress Scenarios that Get the Job Done, with a Credit Risk Application

Number of pages: 23 Posted: 09 Dec 2010
Craig A. Friedman, Jinggang Huang and Yuchang Huang
TIAA-CREF, affiliation not provided to SSRN and Standard & Poor's - Quantitative Analytics
Downloads 149 (217,264)
Citation 3

Abstract:

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Basel II, plausible yet severe scenarios, stress scenarios, copula models, loss scenarios, mean center methods

2.

Imputation Via Copula and Transformation Methods, With Applications to Financial and Economic Data

Number of pages: 23 Posted: 09 Dec 2010
Standard & Poor's - Quantitative Analytics, TIAA-CREF, affiliation not provided to SSRN and Standard & Poor's - Quantitative Analytics
Downloads 105 (282,804)

Abstract:

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Missing Variable Imputation, Generalized T-Distribution, Arellano-Valle and Bolfarine’s Generalized T−Distribution, Copula, Mixture Models, Quadrature

3.

Monotone Nonlinear Probabilistic Models, with Credit Applications

Number of pages: 24 Posted: 10 Sep 2011 Last Revised: 14 Sep 2011
Craig A. Friedman, Yuchang Huang and Jinggang Huang
TIAA-CREF, Standard & Poor's - Quantitative Analytics and affiliation not provided to SSRN
Downloads 62 (386,027)

Abstract:

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monotonicity, nonlinearity, conditional probability model, stochastic dominance, monotone likelihood property, model acceptance, model plausibility, model accuracy, credit rating model, regularization, conditional mean, conditional median, conditional mode, Probability of Default (PD) Model

4.

A Partially Isotropic Reduced Pca Model for Large Equity Portfolios

Number of pages: 14 Posted: 28 Mar 2012
Craig A. Friedman, Wenbo Cao and Jinggang Huang
TIAA-CREF, Standard & Poor's - Quantitative Analytics and affiliation not provided to SSRN
Downloads 49 (430,492)
Citation 1

Abstract:

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Multivariate Stock Return Distribution, Multivariate Probability Distribution, Copula, Principal Components, Partially Isotropic, Fat-tailed, Dependence, Ill-Conditioned