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

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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 (PI))
Duration
42
Start Date
2014-09-01
Amount
439150
Conference Title
On Correlated Default Processes for Financial Credit Risk in an Incomplete Information Market
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
Panel
Physical Sciences (P)
HKU Project Code
17301214
Grant Type
General Research Fund (GRF)
Funding Year
2014
Status
Completed