4 papers
Optimal Liquidation Problems in a Randomly-Terminated Horizon
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu +1
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a co…
Interacting Default Intensity with Hidden Markov Process
Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu +1
In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state gi…
On Infectious Model for Dependent Defaults
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
In this paper, we propose a two-sector Markovian infectious model, which is an extension of Greenwood's model. The central idea of this model is that the causality of defaults of t…
On Reduced Form Intensity-based Model with Trigger Events
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a mor…