Jian Shi

Federal National Mortgage Association (Fannie Mae)

3900 Wisconsin Avenue, NW

Washington, DC 20016-2892

United States

SCHOLARLY PAPERS

2

DOWNLOADS

125

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

A Structural Approach for Predicting Default Correlation

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 20 Posted: 06 Sep 2012 Last Revised: 21 Jan 2013
Washington State University - Vancouver, Michigan Technological University, Federal National Mortgage Association (Fannie Mae) and University of Michigan at Dearborn
Downloads 125 (272,480)
Citation 1

Abstract:

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default correlation, structural model, defaultable bonds, credit risk, fixed income, risk management

2.

Inferring Default Correlation from Equity Return Correlation

European Financial Management, Vol. 21, Issue 2, pp. 333-359, 2015
Number of pages: 27 Posted: 13 Mar 2015
Washington State University - Vancouver, Michigan Technological University, Federal National Mortgage Association (Fannie Mae) and University of Michigan at Dearborn
Downloads 0 (786,642)
Citation 1
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Abstract:

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Default correlation, equity (return) correlation, defaultable bonds, structural model