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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.RM2013
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…
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…