M.X. Huang

PhD in Finance & Economics, Univeristy of Technology, Sydney 2009

MPhil, BSc in Physics, The Chinese University of Hong Kong

2010- Quantitative Analyst, Risk Management, Commonwealth Bank of Australia

2009-2010 Research Associate, School of Finance and Economics, University of Technology, Sydney

2005-2008 PhD Student, School of Finance and Economics, University of Technology, Sydney

2004 Consultant, Department of Real Estate & Structured Finance, Lehman Brothers Hong Kong

2003-2004 Research Assistant, Department of Physics, The Chinese University of Hong Kong

PUBLICATIONS

1. Hui, C.H., T.C. Wong, C.F. Lo and M.X. Huang (2005)
   "Benchmarking Model of Default Probabilities of Listed Companies"
   Journal of Fixed Income, 15(2):76-86 (2005)


2. It also appears in the book chapter of "The Banking Sector in Hong Kong" edited by Hans Genberg and Cho-Hoi Hui, page 191-213, (2008) ISBN-13 978-0-230-20266-5


3. Hui, C.H., C.F. Lo and M.X. Huang (2006)
   "Are Corporates' Target Leverage Ratios Time-Dependent?"
   International Review of Financial Analysis, 15(3):220-236
   It also appears in Hong Kong Monetary Authority, Research Memorandum 03/2005.


4. Hui, C. H., C. F. Lo and M.X. Huang (2003)
   "Estimation of Default Probability by Three-Factor Structural Model"
   Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 20-23 March 2003, page 9-15.

WORKING PAPERS


5. Chiarella, C., C-Y Hsiao and M.X. Huang (2010)
   "A Survey of Non-linear Methods for No-arbitrage Bond Pricing"
   Quantitative Finance Research Paper Series University of Technology, Sydney, No. 277


6. Lo, C. F., T.C. Wong, C.H. Hui and M.X. Huang (2008)
   "Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios"
   Hong Kong Institute for Monetary Research Working Papers
   WP No. 4/2008, also available at SSRN: http://ssrn.com/abstract=1101983.


7. Hui, C.H., C.F. Lo, M.X. Huang and H.C. Lee (2007)
   "Predictions of Default Probabilities by Models with Dynamic Leverage Ratios"
   Working papers. Available here: http://ssrn.com/abstract=1113726

CONFERENCE PRESENTATIONS

1. "Modelling Default Correlations in a Two-Firm Model Driven by Dynamic Leverage Ratios Following Jump Diffusion Processes" (with C. Chiarella)
   Quantitative Methods in Finance 2009 Conference (Sydney, December 2009)
   Also presented in the Operations Management and Econometrics Seminars, University of Sydney (May 2009)
   



2. "Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios" (with C. Chiarella)
   14th International Conference on Computing in Economics and Finance (Paris, June 2008)
   


3. "Computation of the First-Passage Time Density in a Two-Firm Model of Default Correlation" (with C. Chiarella)
   13th International Conference on Computing in Economics and Finance (Montreal, June 2007)
   


4. "Predictions of Default Probabilities by Models with Dynamic Leverage Ratios"
   (with C.H. Hui, C.F. Lo and H.C. Lee)
   Quantitative Methods in Finance 2004 Conference (Sydney, Dec 2004)
   


5. "Modelling term structures of default probability by structural model with time-dependent target leverage ratios" (with C.H. Hui and C.F. Lo)
   The Third World Congress of the Bachelier Finance Society (Chicago, July 2004)
   


6. "Estimation of default probability by structural model with time-dependent target leverage ratios" (with C.F. Lo and C.H. Hui)
   Quantitative Methods in Finance 2003 Conference (Sydney, Dec 2003)
   

Contact: mingxi.huang at alumni.uts.edu.au

Last updated on 9 July 2011