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Hierarchical Structural Models of Portfolio Credit Risk

Huang, Junming (2013) Hierarchical Structural Models of Portfolio Credit Risk. Doctoral Dissertation, University of Pittsburgh. (Unpublished)

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In this thesis, we will study hierarchical structural models of portfolio credit defaults that incorporate cyclical dependence and contagion to capture market phenomena such as multi-humped loss distributions. We will use both analytical methods and Monte Carlo simulations in our study. Some of these new models will be calibrated to standard market models to illustrate their effectiveness in pricing single-name CDS’s and CDO tranches simultaneously.


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Item Type: University of Pittsburgh ETD
Status: Unpublished
CreatorsEmailPitt UsernameORCID
ETD Committee:
TitleMemberEmail AddressPitt UsernameORCID
Committee ChairChadam, Johnchadam@pitt.eduCHADAM
Committee MemberChen, Xinfuxinfu@pitt.eduXINFU
Committee MemberDoiron, Brentbdoiron@pitt.eduBDOIRON
Committee MemberIyengar, Satishssi@pitt.eduSSI
Committee MemberRichard, Jean-Francoisfantin@pitt.eduFANTIN
Date: 30 June 2013
Date Type: Publication
Defense Date: 8 April 2013
Approval Date: 30 June 2013
Submission Date: 2 May 2013
Access Restriction: 5 year -- Restrict access to University of Pittsburgh for a period of 5 years.
Number of Pages: 211
Institution: University of Pittsburgh
Schools and Programs: Dietrich School of Arts and Sciences > Mathematics
Degree: PhD - Doctor of Philosophy
Thesis Type: Doctoral Dissertation
Refereed: Yes
Uncontrolled Keywords: Hierarchical Structural Models, Cyclical Dependence, Contagion, Multi-humped Loss Distribution, Monte Carlo Simulations, Large Portfolio Approximation, Calibration, Credit Default Swaps, Collateralized Debt Obligations.
Date Deposited: 30 Jun 2013 22:28
Last Modified: 30 Jun 2018 05:15


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