2 citations · 3 across the 4 of their papers we have counts for
4 papers
Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
Hengxin Cui, Ken Seng Tan, Fan Yang
In this paper, we study large losses arising from defaults of a credit portfolio. We assume that the portfolio dependence structure is modelled by the Archimedean copula family as…
Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms
Chaofan Sun, Ken Seng Tan, Wei Wei
The replacement closeout convention has drawn more and more attention since the 2008 financial crisis. Compared with the conventional risk-free closeout, the replacement closeout c…
Trade-off between validity and efficiency of merging p-values under arbitrary dependence
Yuyu Chen, Peng Liu, Ken Seng Tan +1
Various methods of combining individual p-values into one p-value are widely used in many areas of statistical applications. We say that a combining method is valid for arbitrary d…
Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency
Ken Seng Tan, Wei Wei, Xun Yu Zhou
This paper considers a time-inconsistent stopping problem in which the inconsistency arises from non-constant time preference rates. We show that the smooth pasting principle, the…