Zhan Shi

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing , 100083

China

SCHOLARLY PAPERS

5

DOWNLOADS

816

SSRN CITATIONS
Rank 28,066

SSRN RANKINGS

Top 28,066

in Total Papers Citations

1

CROSSREF CITATIONS

24

Scholarly Papers (5)

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 208 (151,641)
Citation 13

Abstract:

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

2.

Determinants of Bond Risk Premia: A Machine-Learning-Based Resolution of the Spanning Controversy

AFA 2011 Denver Meetings Paper
Number of pages: 127 Posted: 17 Mar 2010 Last Revised: 19 Jan 2020
Jing-Zhi Huang and Zhan Shi
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 378 (80,778)
Citation 1

Abstract:

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Bond excess returns, Unspanned predictability, Machine learning

3.

Hedging Interest Rate Risk Using a Structural Model of Credit Risk

Charles A. Dice Center Working Paper No. 2016-4, Fisher College of Business Working Paper No. 2016-03-04
Number of pages: 53 Posted: 12 Feb 2016
Jing-Zhi Huang and Zhan Shi
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 150 (202,812)
Citation 1

Abstract:

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credit risk, structural models, credit spreads, hedge ratios

4.

The Global Credit Spread Puzzle

Number of pages: 88 Posted: 24 Sep 2019 Last Revised: 19 Jan 2020
Pennsylvania State University - University Park - Department of Finance, Hong Kong University of Science and Technology and Tsinghua University - PBC School of Finance
Downloads 80 (316,280)

Abstract:

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Corporate credit spreads, Credit spread puzzle, Structural credit risk models, Merton model, Black and Cox model, CDS, Fixed income asset pricing

5.

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

Number of pages: 51
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 0

Abstract:

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