Lyn C. Thomas

University of Southampton - School of Management

Professor

Highfield

Southampton S017 1BJ, Hampshire SO17 1BJ

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 8,356

in Total Papers Downloads

5,386

CITATIONS

5

Scholarly Papers (8)

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management

Number of pages: 21 Posted: 13 Apr 2001
Harry Zheng, Lyn C. Thomas and David E. Allen
Imperial College London - Mathematical Finance, University of Southampton - School of Management and School of Mathematics and Statistics, The University of Sydney
Downloads 1,433 (12,123)
Citation 1

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Portfolio choice, asset pricing, computational techniques, duration analysis

The Duration Derby: A Comparison of Duration-Based Strategies in Asset Liability Management

Journal of Bond Trading & Management, Vol. 1, No. 4, pp. 371-80, April 2003
Posted: 17 Sep 2003
Harry Zheng, Lyn C. Thomas and David E. Allen
Imperial College London - Mathematical Finance, University of Southampton - School of Management and School of Mathematics and Statistics, The University of Sydney

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approximate duration, asset liability management, linear programming

A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads

Number of pages: 36 Posted: 10 Aug 1998
University of Southampton - School of Management, School of Mathematics and Statistics, The University of Sydney and RMIT University
Downloads 1,140 (17,303)
Citation 3

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A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads

International Review of Financial Analysis
Posted: 20 Aug 2001
University of Southampton - School of Management, School of Mathematics and Statistics, The University of Sydney and RMIT University

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Bond pricing, credit ratings, credit spread, linear programming, Markov Chain, risk premium

3.

Modeling Credit Risk of Portfolio of Consumer Loans

Number of pages: 20 Posted: 22 Oct 2008
Madhur Malik and Lyn C. Thomas
University of Southampton and University of Southampton - School of Management
Downloads 1,051 (19,933)
Citation 1

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Finance, Credit Risk, Survival Analysis, Credit Scoring

4.

Structural Models in Consumer Credit

Number of pages: 29 Posted: 21 Jul 2004
Fabio W. M. de Andrade and Lyn C. Thomas
SERASA S.A. and University of Southampton - School of Management
Downloads 697 (35,669)
Citation 2

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Credit risk models, consumer credit, Basel II, structural models

5.

Transition Matrix Models of Consumer Credit Ratings

Number of pages: 27 Posted: 27 Jan 2010
Madhur Malik and Lyn C. Thomas
University of Southampton and University of Southampton - School of Management
Downloads 567 (46,918)
Citation 1

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Markov chain, Credit risk, Logistic regression, Credit scoring

6.

Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

Number of pages: 25 Posted: 18 Apr 2013
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University, Edith Cowan University - School of Accounting, Finance and Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, University of Oxford - Said Business School and University of Southampton - School of Management
Downloads 327 (91,141)
Citation 1

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Return-Volatility relationship, quantile regression, copula, copula quantile regression, volatility index, tail dependence

7.

Managing Inventory and Production Capacity in Start-Up Firms

Number of pages: 28 Posted: 18 Dec 2009
Lyn C. Thomas, Thomas W. Archibald and Edgar Possani
University of Southampton - School of Management, Business School, University of Edinburgh and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 170 (174,783)

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start-up firms, inventory, production capacity, stochastic modelling, dynamic

8.

Dynamic Affordability Assessment: Predicting an Applicant's Ability to Repay Over the Life of the Loan

Journal of Credit Risk, Vol. 10, No. 1, 2014
Number of pages: 30 Posted: 04 Jun 2016
Katarzyna Bijak, Lyn C. Thomas and Christophe Mues
University of Southampton, University of Southampton - School of Management and University of Southampton
Downloads 1 (648,295)
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Dynamic affordability assessment, loan, creditworthiness