Frank Xiaoling Zhang

Morgan Stanley

1585 Broadway

New York, NY 10036

United States

SCHOLARLY PAPERS

8

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5,760

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Top 4,090

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132

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Scholarly Papers (8)

1.

Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models

AFA 2001 New Orleans Meetings
Number of pages: 53 Posted: 08 Mar 2001
Gurdip Bakshi, Dilip B. Madan and Frank Xiaoling Zhang
Fox School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,537 (10,900)

Abstract:

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2.

Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates

FDIC CFR Working Paper No. 06, EFA 2004 Maastricht Meetings Paper No. 3584, FEDS Working Paper, AFA 20004 Meetings
Number of pages: 32 Posted: 24 Oct 2003
Dilip B. Madan, Gurdip Bakshi and Frank Xiaoling Zhang
University of Maryland - Robert H. Smith School of Business, Fox School of Business and Morgan Stanley
Downloads 1,345 (13,504)

Abstract:

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3.

A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure

FEDS Discussion Paper No. 2005-59, Management Science, Forthcoming
Number of pages: 33 Posted: 21 Mar 2005 Last Revised: 15 Jun 2008
Liuren Wu and Frank Xiaoling Zhang
City University of New York, CUNY Baruch College - Zicklin School of Business and Morgan Stanley
Downloads 753 (31,743)

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Credit spreads, term structure, interest rates, macroeconomic factors, financial leverage, volatility, dynamic factor mode, Kalman filter

4.

Liquidity, Default, Taxes and Yields on Municipal Bonds

FEDS Working Paper No. 2005-35
Number of pages: 51 Posted: 23 Mar 2005
Chunchi Wu, Junbo Wang and Frank Xiaoling Zhang
SUNY at Buffalo - School of Management, Dept. of Economics and Finance, City Univ. of HK and Morgan Stanley
Downloads 670 (37,202)

Abstract:

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liqudity, default, taxes, yields, maturity, municipal bonds

5.

Trading Activity and Price Volatility in the Municipal Bond Market

FEDS Working Paper No. 2002-39, Journal of Finance, Vol. 59, No. 2, pp. 899-931
Number of pages: 38 Posted: 18 Oct 2002 Last Revised: 31 Jan 2008
Chris Downing and Frank Xiaoling Zhang
BlackRock and Morgan Stanley
Downloads 506 (53,533)

Abstract:

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Municipal, bond, price, volatility, volume

6.

What Did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 131, FEDS Working Paper No. 2003-25
Number of pages: 43 Posted: 23 Jul 2003
Frank Xiaoling Zhang
Morgan Stanley
Downloads 493 (55,334)

Abstract:

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7.

Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models

Journal of Business, Forthcoming
Number of pages: 36 Posted: 30 Dec 2004
Dilip B. Madan, Gurdip Bakshi and Frank Xiaoling Zhang
University of Maryland - Robert H. Smith School of Business, Fox School of Business and Morgan Stanley
Downloads 456 (61,003)

Abstract:

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Default risk models, reduced-form, leverage, distance-to-default, hedging

Abstract:

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Credit default swap, default risk, risk premium, market expectation, credit derivatives, sovereign debt, Argentina, default probability, term structure