Huang, Junming
(2013)
Hierarchical Structural Models of Portfolio Credit Risk.
Doctoral Dissertation, University of Pittsburgh.
(Unpublished)
Abstract
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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Details
| Item Type: |
University of Pittsburgh ETD
|
| Status: |
Unpublished |
| Creators/Authors: |
|
| ETD Committee: |
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| 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 |
| URI: |
http://d-scholarship.pitt.edu/id/eprint/18667 |
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