PDF《清华大学五道口金融学院》

施展清华大学五道口金融学院 shizh@pbcsf.

tsinghua.edu.cn 教育背景 2014.5 宾夕法尼亚州立大学,Smeal 商学院,金融系,博士学位 2008.6 复旦大学,统计系,学士学位 工作和实习经历 2016.9 至今 清华大学五道口金融学院,助理教授 2014.8-2016.5 俄亥俄州立大学,金融系,访问助理教授 研究领域 固定收益产品,宏观金融,资产定价,金融计量 工作论文 "Time-Varying Ambiguity and Asset Pricing Puzzles" presented at the WFA 2014, R & R in JFE This paper studies the effects of time-varying Knightian uncertainty (ambiguity) on asset pricing in a Lucas exchange economy. Speci?cally, I consider a general equilibrium model where an ambiguity-averse agent applies a discount rate that is adjusted not only for the current magnitude of ambiguity but also for the risk associated with its future ?uctuations. As such, both the ambiguity level and volatility help raise asset premia and accommodate richer dynamics of asset prices. With a novel measure for the ambiguity level, I show that the estimated model is able to explain a wide range of asset markets anomalies, including the equity premium puzzle, the risk- free rate puzzle, the credit spread puzzle, and the expectations puzzle. In particular, this paper establishes both theoretical and empirical linkages of ambiguity with the unspanned predictability in the Treasury market. Furthermore, the proposed ambiguity measure is found to exhibit signi?cant predictive power for excess returns on equities and bonds as well as for corporate yield spreads, a ?nding that justi?es uncertainty channels highlighted in the model. "Hedging Interest Rate Risk Using a Structural Model of Credit Risk" with Jingzhi Huang presented at the NFA

2013 Recent evidence has shown that structural models fail to capture interest rate sensitivities of corporate debt. We considerastructuralmodelthatincorporatesathree- factordynamictermstructuremodel(DTSM)intotheMerton (1974) model. We show that the proposed model largely captures the interest rate exposure of corporate bonds. We also ?nd that for investment-grade bonds, hedging effectiveness substantially improves under the proposed model. Our results indicate that to better capture and hedge the interest rate exposure of corporate bonds, we need to incorporate a more realistic DTSM in the existing structural models. "Understanding Term Premia on Real Bonds" with Jingzhi Huang presented at the SICF 2012, NFA 2012, AFA

2013 Real bonds are a very important asset class and deciphering their risk-return relationship deepens our already extensive understanding about term premia. However, there has been little research on the dynamic behavior and economic determinants of risk premia on such bonds. This paper takes a series of steps towards extending extant evidence on nominal bond premia to their real counterparts. First, we document empirically that the real bond risk premium changes over time and ?uctuates between positive and negative values. Second, we ?nd that the real term structure itself contains a component that, albeit undetectable from cross section of bond yields, drives risk premia. Finally, we examine the potential link between the real bond premia and macroeconomic variables. We ?nd that macro factors associated with real estate and consumer income and expenditure can capture a large portion of forecastable variations in excess returns on real bonds. Our empirical results indicate an essential need to propose asset pricing models such that implied real yields are able to account for these stylized facts. "Estimation of Asset Value and Asset Volatility in Structural Models" with Jingzhi Huang and Yuchen Luo One widely used approach to credit risk modeling is the structural framework of Black and Scholes (1973) and Merton (1974). The implementation of a structural credit risk model requires the knowledge of two important and yet unobservable parameters, asset value and asset volatility. Various methods have been proposed in the literature for the estimation of these two parameters;