Zheng Harry

Harry Zheng

Information about the author Harry Zheng will soon be added to the site.
Found 3 papers in total
On reduced-form intensity-based model with ‘trigger’ events
On reduced-form intensity-based model with ‘trigger’ events
2014
Corporate defaults may be triggered by some major market news or events such as...
Efficient frontier of utility and CVaR (Conditional Value at Risk)
Efficient frontier of utility and CVaR (Conditional Value at Risk)
2009
We study the efficient frontier problem of maximizing the expected utility of terminal...
Macaulay durations for nonparallel shifts
Macaulay durations for nonparallel shifts
2007
Macaulay duration is a well-known and widely used interest rate risk measure. It is...
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