Office of the Comptroller of the Currency
Xinlei Zhao is a Lead Expert in the Credit Risk Analysis Division within the Economics Department of the Office of the Comptroller of the Currency (OCC). Dr. Zhao's current research interests include credit risk modeling, asset pricing, and corporate finance. Her fields of interest include credit risk modeling, asset pricing, and corporate finance. Before joining the OCC, Dr. Zhao was an associate professor of finance at the Kent State University. She holds a doctorate in finance from the University of Toronto.
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).