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Portfolio Credit Risk of Default and Spread Widening

Zhao, Hongbiao - 2012

This paper introduces a new model for portfolio credit risk incorporating default and spread widening in one consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula. Their joint evolution drives the spreads widening and...

Persistent link: https://www.econbiz.de/10013114334

Stochastic control with inhomogeneous regime switching : application to consumption and investment with unemployment and reemployment

Tao, Cheng; Rong, Ximin; Zhao, Hui - In: Journal of mathematical economics 107 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014366223

International value versus growth : evidence from stochastic dominance analysis

Abhyankar, Abhay; Ho, Keng-Yu; Zhao, Huainan - In: International journal of finance & economics : IJFE 14 (2009) 3, pp. 222-232

Persistent link: https://www.econbiz.de/10003901041

Portfolio selection problem with multiple risky assets under the constant elasticity of variance model

Zhao, Hui; Rong, Ximin - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 179-190

Persistent link: https://www.econbiz.de/10009501687

Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model

Zhao, Hui; Rong, Ximin; Zhao, Yonggan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 504-514

Persistent link: https://www.econbiz.de/10010227974

Optimal investment problem with multiple risky assets under the constant elasticity of variance (CEV) model

Zhao, Hui; Rong, Ximin; Ma, Weiqin; Gao, Bo - In: Modern economy 3 (2012) 6, pp. 718-725

Persistent link: https://www.econbiz.de/10009720485

Belief asymmetry and gains from acquisitions

Alexandridis, George; Antoniou, Antonios; Zhao, Huainan - In: Journal of multinational financial management 18 (2008) 5, pp. 443-460

Persistent link: https://www.econbiz.de/10003789974

The Epstein-Zin model with liquidity extension

Liu, Weimin; Luo, Di; Zhao, Huainan - In: The financial review : the official publication of the … 51 (2016) 1, pp. 113-146

Persistent link: https://www.econbiz.de/10011436806

Interfund lending in mutual fund families : role of internal capital markets

Agarwal, Vikas; Zhao, H. - 2016 - [revised]

Although the 1940 Act restricts interfund lending within a mutual fund family, families can apply for exemptions from the regulator to participate in interfund lending. We find that heterogeneity in portfolio liquidity and investor flows across funds, funds' investment restrictions, and...

Persistent link: https://www.econbiz.de/10011506302

Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

Li, Danping; Rong, Ximin; Zhao, Hui - In: Insurance / Mathematics & economics 64 (2015), pp. 28-44

Persistent link: https://www.econbiz.de/10011396861