On Correlated Default Processes for Financial Credit Risk in an Incomplete Information Market


Grant Data
Project Title
On Correlated Default Processes for Financial Credit Risk in an Incomplete Information Market
Principal Investigator
Professor Ching, Wai Ki   (Principal investigator)
Duration
36
Start Date
2014-09-01
Completion Date
2017-08-31
Amount
439150
Conference Title
Presentation Title
Keywords
Correlated Brownian Motions, Counterparty Risk, Incomplete Information Market, Reduced-form Model, Structural Firm Value Model
Discipline
Mathematical Finance and Insurance,Applied Mathematics
Sponsor
RGC General Research Fund (GRF)
HKU Project Code
17301214
Grant Type
General Research Fund (GRF)
Funding Year
2014/2015
Status
On-going