Jinggang Huang

Standard & Poor's - Quantitative Analytics

55 Water Street

New York, NY 10041

United States

SCHOLARLY PAPERS

11

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CITATIONS
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Top 21,901

in Total Papers Citations

13

Scholarly Papers (11)

1.

Private Firm Default Probabilities Via Statistical Learning Theory and Utility Maximization

Number of pages: 27 Posted: 27 Oct 2005 Last Revised: 14 Apr 2011
Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics, TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 246 (90,157)
Citation 7

Abstract:

Private Firm, Probability of Default, Expected Utility, Statistical

2.

A Financial Approach to Machine Learning with Applications to Credit Risk

Forthcoming, Proceedings of IMA Workshop of Financial Modeling, Springer, Edited by Marco Avellaneda and Rama Cont
Number of pages: 39 Posted: 02 Nov 2005
Craig A. Friedman, Jinggang Huang and Sven Sandow
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 235 (95,927)

Abstract:

3.

Modeling Multi-Period Corporate Default Probability When Hazard Ratios Decay

Journal of Credit Risk, Forthcoming
Number of pages: 15 Posted: 27 Aug 2007 Last Revised: 27 Apr 2012
Jinggang Huang and Craig A. Friedman
Standard & Poor's - Quantitative Analytics and TIAA-CREF
Downloads 228 (98,397)
Citation 1

Abstract:

4.

Some Decision Theoretic Generalizations of Information Measures

Number of pages: 32 Posted: 01 Nov 2005
Craig A. Friedman, Jinggang Huang and Sven Sandow
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 139 (163,553)

Abstract:

Generalized Entropy, Generalized Kullback-Leibler Relative Entropy, Decision Theory, Expected Utility, Horse Race, Tsallis Entropy, Statistical Learning, Probability Estimation, Risk Neutral Pricing Measure

5.

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 126 (161,705)
Citation 2

Abstract:

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

6.

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 119 (177,672)
Citation 3

Abstract:

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

7.

Most Entropic Copulas: General Form, and Calibration to High-Dimensional Data in an Important Special Case

Number of pages: 13 Posted: 15 Dec 2010
Craig A. Friedman and Jinggang Huang
TIAA-CREF and Standard & Poor's - Quantitative Analytics
Downloads 63 (261,832)

Abstract:

Most Entropic Copula, General Form, Spearman Copula, Homogeneous Spearman Copula, Calibration, Numerical procedure, CDX IG Index

8.

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:

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

9.

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:

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

Information, Model Performance, Pricing and Trading Measures in Incomplete Markets

Posted: 27 Jan 2006
Craig A. Friedman, Jinggang Huang and Sven Sandow
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics

Abstract:

Entropy, Incomplete Markets, Expected Utility, Pricing Measures, Model Performance Measure, Minimum Relative Entropy Principal, Statistical

Information, Model Performance, Pricing and Trading Measures in Incomplete Markets

International Journal of Theoretical and Applied Finance, Vol. 9, No. 3, 2006
Posted: 31 Jan 2006 Last Revised: 17 Dec 2010
Jinggang Huang, Sven Sandow and Craig A. Friedman
Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics and TIAA-CREF

Abstract:

Entropy, Incomplete Markets, Expected Utility, Pricing Measures, Model Performance Measure, Minimum Relative Entropy Principal, Statistical

11.

How Much is a Model Upgrade Worth?

Journal of Risk, Fall 2007
Posted: 27 Oct 2005
Sven Sandow, Jinggang Huang and Craig A. Friedman
Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics and TIAA-CREF

Abstract:

Model Performance Measure, Likelihood, Certainty Equivalent, Utility Function, Monetary Value, Risk Aversion, Default Probability