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美国宾夕法尼亚州立大学Jingzhi Huang教授讲座
Published:2016-07-05 16:49:29    Text Size:【BIG】【MEDIUM】【SMALL

讲座题目:Hedging Interest Rate Risk Using a Structural Model of Credit Risk

讲座时间:2016年7月5日(星期二)下午3点

讲座地点:九里校区信息楼0212教室

主讲人:美国宾夕法尼亚州立大学Jingzhi Huang教授

主持人:李维萍 教授

主讲人简介:

  Jingzhi Huang is Professor of Finance , David H. McKinley Professor of Business , Professor of Mathematics (Courtesy Appointment) Professor Huang has been at Penn State since receiving his Ph.D. in finance from New York University in 1997. He has also taught at the Stern School of Business, New York University. Current Research are Corporate bond illiquidity; Valuation and hedging of corporate bonds, credit default swaps, and options; Determinants of Treasury bond risk premia and real bond risk premia; TIPS and inflation risk premium; Mutual fund and hedge fund performance analysis; Anomalies. Expertise are derivatives markets, credit risk, fixed-income markets, mutual funds, and hedge funds

讲座内容简介:

    Recent evidence has shown that structural models fail to capture interest rate sensitivities of corporate debt. We consider a structural model that incorporates a three-factor dynamic term structure model (DTSM) into the Merton (1974) model and show that the proposed model largely captures the interest rate exposure of corporate bonds. We also find that for investment-grade bonds, hedging effectiveness substantially improves under the proposed model.

 

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