You are here

Dissertations

Default risk and equilibrium asset pricing: Applications to corporate and sovereign debt markets

Ganlin Chang, 2001
Faculty Advisor: Suresh Sundaresan
Print this abtract

Abstract

Default risk affects many consumers in our economy and causes a special imperfection for the financial market. In this thesis I investigate how the existence of default risk affects the equilibrium of the economy, the agent's optimal strategy, and asset prices. A theoretical framework has been developed to simultaneously determine the agent's optimal consumption policy and optimal default policy under credit risk. Using this modeling strategy, I study three problems involving default risk: equilibrium asset pricing, sovereign borrowing and lending, and corporate optimal dividend policy.

Doctoral Program News

Wong wins Deloitte Fellowship

We are proud to announce that Yu Ting (Forester) Wong is one of the recipients of the 2014 Deloitte Foundation Doctoral Fellowship in Accounting.

Read More About Yu Ting >

The PhD Program Congratulates John Yao

PhD student John Yao was a finalist in the 2013 M&SOM (Manufacturing & Service Operations Management) student paper competition.

Read More About John >

Apply Now
Sept 2014

Doctoral
Deadline: 01/05/14

MS Marketing
Deadline: 02/02/14

MS Financial Economics
Deadline: 02/02/14

MS Leadership
Rolling admission

Check Application Status

Once you've submitted your application, you can login and track your status by using the link below.

Check Status