Yangyong Zhang

Standard & Poor's - Quantitative Analytics

55 Water Street

New York, NY 10041

United States

SCHOLARLY PAPERS

8

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738

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Top 30,691

in Total Papers Citations

7

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Scholarly Papers (8)

1.

Estimating Flexible, Fat-Tailed Conditional Asset Return Distributions

Number of pages: 44 Posted: 07 Jan 2011 Last Revised: 10 Oct 2012
Craig A. Friedman, Yangyong Zhang and Wenbo Cao
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 185 (160,127)

Abstract:

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Minimum Relative U−Entropy, Conditional Probability Distribution, Fat-tailed, Power-Law Distribution, Heteroskedastic, Financial Data, Asset Returns

2.

Estimating Future Transition Probabilities when the Value of Side Information Decays, with Applications to Credit Modeling

Journal of Risk Volume 14/Number 1, Fall 2011
Number of pages: 38 Posted: 26 Mar 2010 Last Revised: 09 May 2012
Craig A. Friedman, Jinggang Huang and Yangyong Zhang
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 157 (184,810)

Abstract:

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Transition probability model, side information, information value decay, credit model, hazard rate model, default probability model, rating transition model, information theory, minimumrelative entropy principle, conditional relative entropy, robust model

3.

Estimating Flexible, Fat-Tailed Asset Return Distributions

Number of pages: 39 Posted: 20 Jun 2010 Last Revised: 10 Apr 2012
Craig A. Friedman, Yangyong Zhang and Jinggang Huang
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 138 (205,458)

Abstract:

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Minimum Relative U−Entropy, Probability Distribution, Fattailed, Power-Law Distribution, Financial Data, Asset Returns

4.

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 101 (258,814)

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

5.

Engineering More Effective Weighted Monte Carlo Option Pricing Models

Number of pages: 37 Posted: 26 Dec 2012 Last Revised: 04 Jan 2013
TIAA-CREF, Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 84 (291,091)

Abstract:

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Minimum Relative U-Entropy, Weighted Monte Carlo, Option Pricing, Swaptions, Equity Index Options, Student-t distributions, Fat-tailed distributions

6.

A Method to Find Diverse and Manageable Sets of Plausible Yet Severe Financial Scenarios

Number of pages: 48 Posted: 15 Jan 2014
Craig A. Friedman and Yangyong Zhang
TIAA-CREF and Standard & Poor's - Quantitative Analytics
Downloads 73 (316,185)

Abstract:

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scenario simulation, stress scenarios, copula models, Basel II and Basel III, loss scenarios, mean center methods, large portfolios, financial systems, sector-specific risk, model misspecification risk

7.

Joint and Conditional Transformed T−Mixture Models with Applications to Financial and Economic Data

Journal of Risk, Vol. 11, No. 3, Spring 2009
Posted: 09 Dec 2010 Last Revised: 10 Feb 2011
TIAA-CREF, Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics

Abstract:

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Copula, Conditional Probability Density, Gaussian Mixture Model, t−Mixture Model, Multivariate Probability Distribution, Multivariate t−Distribution, Arellano-Valle and Bolfarine’s Generalized t−distribution, Fat-Tailed, Simulation, Stock Return Distribution, Financial Data, Economic Data

8.

Estimating Univariate Distributions Via Relative Entropy Minimization: Case Studies on Financial and Economic Data

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 08 Jun 2010 Last Revised: 09 Jun 2010
Craig A. Friedman, Yangyong Zhang and Jinggang Huang
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics

Abstract:

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Kullback-Leibler relative entropy, maximum likelihood, probability distribution, fat-tailed, point mass, stock return distribution, stock index return distribution, financial data, economic data, California Housing Data