Zhan Shi

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

SCHOLARLY PAPERS

4

DOWNLOADS

689

SSRN CITATIONS
Rank 26,819

SSRN RANKINGS

Top 26,819

in Total Papers Citations

1

CROSSREF CITATIONS

24

Scholarly Papers (4)

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 152 (195,156)
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

AFA 2011 Denver Meetings Paper
Number of pages: 57 Posted: 17 Mar 2010 Last Revised: 22 Jan 2014
Zhan Shi and Jing-Zhi Huang
Tsinghua University - PBC School of Finance and Pennsylvania State University - University Park - Department of Finance
Downloads 364 (81,795)
Citation 1

Abstract:

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Bond excess returns, Unspanned predictability, Lasso

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 147 (200,157)
Citation 1

Abstract:

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credit risk, structural models, credit spreads, hedge ratios

4.

The Global Credit Spread Puzzle

Number of pages: 78 Posted: 24 Sep 2019
Hong Kong University of Science and Technology, Tsinghua University - PBC School of Finance and Pennsylvania State University - University Park - Department of Finance
Downloads 26 (496,932)

Abstract:

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