PhD Student: Chang Liu
In brief
I hold a Master of Commerce degree with Honours from the University of Melbourne, where I have tutored in the Department of Finance since 2005. I did my Bachelor degree with Honours in Actuarial Science and Mathematical Statistics at the University of Witwatersrand, Johannesburg, where I was also a tutor. My current research interest focuses on credit derivative modelling.
My PhD
My thesis, entitled ‘The Pricing of Portfolio Credit Risk’, is about the development and calibration of credit derivative models. A critical factor in the pricing of portfolio credit derivatives is how the credit of the corporate entities varies with each other, that is, the correlation of default risk between financial entities. Empirical models must account for this correlation, along with other variables – ranging from macroeconomic issues to company specific ones – which also impact risk. However, these instruments are highly dynamic and the current models for pricing these products have not yet been tested against the market because they have a relatively short history of being traded. A number of problems have been identified for existing models. In reviewing and testing current models, I hope to develop an improved model, or perhaps a new one.
Preferred professional directions
I am very interested in gaining industry experience that would enable me to observe how these models perform in real-world conditions, possibly in a bank or financial consulting firm. Later I would like to develop closer links with academic research.
Contact details
Tel: +61 3 8344 3702
Email: c.liu9 @ pgrad.unimelb.edu.au