Name
Abstract | ||
|---|---|---|
In this paper, we propose a reduced-form credit risk model with a hidden state process. The hidden state process is adopted to model the underlying economic environment with an observable state revealing the delayed and noisy information of the underlying economic state. Our model is a generalization of the work in Gu et al. [1]. Under this framework, we give a computational method to extract the underlying economic state and to find the distribution of multiple default times. Numerical experiment is conducted to illustrate the impact of change in observable state and the contagion effect of defaults. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1109/CIFEr.2014.6924072 | CIFEr |
Keywords | Field | DocType |
observability,numerical experiment,hidden state process,delayed information,multiple default time distribution,economic environment,reduced-form credit risk model,risk analysis,noisy information,hidden markov reduced-form risk model,finance,economics,economic state,hidden markov models,observable state,default contagion effect,computational modeling,mathematical model | Econometrics,Economics,Maximum-entropy Markov model,Forward algorithm,Markov model,Partially observable Markov decision process,Markov chain,Variable-order Markov model,Hidden Markov model,Hidden semi-Markov model | Conference |
ISSN | Citations | PageRank |
2380-8454 | 0 | 0.34 |
References | Authors | |
2 | 3 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jia-Wen Gu | 1 | 12 | 3.07 |
| Wai-Ki Ching | 2 | 683 | 78.66 |
| Harry Zheng | 3 | 28 | 9.30 |