6 citations · 19 across the 13 of their papers we have counts for
Showing q-fin.CPShow all
3 papers · 1 filter
q-fin.CP2016
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…
q-fin.CP2013
On Modeling Economic Default Time: A Reduced-Form Model Approach
Jia-Wen Gu, Bo Jiang, Wai-Ki Ching +1
In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, fina…
q-fin.CP2013
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…