Zhan Shi

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing , 100083

China

SCHOLARLY PAPERS

5

DOWNLOADS

891

SSRN CITATIONS
Rank 27,724

SSRN RANKINGS

Top 27,724

in Total Papers Citations

7

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 224 (156,514)
Citation 15

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 424 (78,991)
Citation 1

Abstract:

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Bond excess returns, Unspanned predictability, Machine learning

3.

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 159 (213,453)
Citation 1

Abstract:

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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

4.

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 84 (338,047)
Citation 1

Abstract:

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

5.

The Global Credit Spread Puzzle

PBCSF-NIFR Research Paper
Posted: 24 Sep 2019 Last Revised: 29 Oct 2020
Pennsylvania State University - University Park - Department of Finance, Hong Kong University of Science and Technology and Tsinghua University - PBC School of Finance

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