Frank Xiaoling Zhang

Morgan Stanley

1585 Broadway

New York, NY 10036

United States

SCHOLARLY PAPERS

8

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CITATIONS
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134

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
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,466 (8,953)
Citation 12

Abstract:

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, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,264 (11,364)
Citation 35

Abstract:

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 720 (27,029)
Citation 9

Abstract:

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, affiliation not provided to SSRN and Morgan Stanley
Downloads 596 (33,492)
Citation 3

Abstract:

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

5.

Market Expectations and Default Risk Premium in Credit Default Swap Prices: A Case Study of Argentine Default

Number of pages: 44 Posted: 31 May 2005
Frank Xiaoling Zhang
Morgan Stanley
Downloads 594 (34,309)
Citation 4

Abstract:

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

6.

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 462 (46,563)
Citation 14

Abstract:

Municipal, bond, price, volatility, volume

7.

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 446 (47,900)
Citation 20

Abstract:

8.

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, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 417 (52,536)
Citation 37

Abstract:

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