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Feng Liu

  • Title: Ms
  • Position: PhD Student - Department of Applied Finance and Actuarial Studies

Contact Details

Education

  • Master of Commerce: Actuarial Studies (Macquarie University)
  • Bachelor of Commerce, Honours: Actuarial Studies (Macquarie University)
  • Bachelor of Commerce: Finance (University of Sydney)

Student information

  • Load: PhD Student Full Time
  • Principal supervisor:

    Associate Professor Pitt David

  • Associate supervisor:

    Professor Stefan Trueck

  • Date of submission: 01/12/2017
  • Thesis title: Joint Model for Longitudinal and Event Data Analysis: Application in Credit Risk Assessment
  • Purpose:
    The purpose of the current study will be to analyse the corporate credit risk using the joint model, which has been applied successfully in medical research but yet to be used in credit risk modeling. Embedded with a mixed-effect model to assess the longitudinal evolution of time-dependent variables, the joint model is expected to outperform existing models in predicting credit risk.
  • Study scope:
    The study will focus on American listed companies. The aim of the model is to find the association between selected microeconomic/macroeconomic variables and the credit risk. The study is interested in default risk as well as migration risk. The model can also be extended to analyse sovereign risk.
  • Keywords:
    credit risk, longitudinal data, survival model, joint model, mixed-effect model