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Conference Paper: On infectious models for dependent default risk
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TitleOn infectious models for dependent default risk
 
AuthorsGu, J1
Ching, WK1
Siu, TK2
 
KeywordsChain reaction of infectious defaults
Common shock
Default risk
Markov chains
One-sector model
Two-sector model
 
Issue Date2011
 
PublisherIEEE Computer Society. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1002829
 
CitationThe 4th International Joint Conference on Computational Sciences and Optimization (CSO 2011), Yunnan, China, 15-19 April 2011. In Proceedings of the 4th CSO, 2011, p. 1196-1200 [How to Cite?]
DOI: http://dx.doi.org/10.1109/CSO.2011.185
 
AbstractModeling dependent defaults is a key issue in risk measurement and management. In this paper, we introduce a Markovian infectious model to describe the dependent relationship of default processes of credit entities. The key idea of the proposed model is based on the concept of common shocks adopted in the insurance industry. We compare the proposed model to both one-sector and two-sector models considered in the credit literature using real default data. A log-likelihood ratio test is applied to compare the goodness-of- fit of the proposed model. Our empirical results reveal that the proposed model outperforms both the one-sector and two-sector models. © 2011 IEEE.
 
ISBN978-0-7695-4335-2
 
DOIhttp://dx.doi.org/10.1109/CSO.2011.185
 
ReferencesReferences in Scopus
 
DC FieldValue
dc.contributor.authorGu, J
 
dc.contributor.authorChing, WK
 
dc.contributor.authorSiu, TK
 
dc.date.accessioned2011-10-28T02:56:23Z
 
dc.date.available2011-10-28T02:56:23Z
 
dc.date.issued2011
 
dc.description.abstractModeling dependent defaults is a key issue in risk measurement and management. In this paper, we introduce a Markovian infectious model to describe the dependent relationship of default processes of credit entities. The key idea of the proposed model is based on the concept of common shocks adopted in the insurance industry. We compare the proposed model to both one-sector and two-sector models considered in the credit literature using real default data. A log-likelihood ratio test is applied to compare the goodness-of- fit of the proposed model. Our empirical results reveal that the proposed model outperforms both the one-sector and two-sector models. © 2011 IEEE.
 
dc.description.naturepublished_or_final_version
 
dc.description.otherThe 4th International Joint Conference on Computational Sciences and Optimization (CSO 2011), Yunnan, China, 15-19 April 2011. In Proceedings of the 4th CSO, 2011, p. 1196-1200
 
dc.identifier.citationThe 4th International Joint Conference on Computational Sciences and Optimization (CSO 2011), Yunnan, China, 15-19 April 2011. In Proceedings of the 4th CSO, 2011, p. 1196-1200 [How to Cite?]
DOI: http://dx.doi.org/10.1109/CSO.2011.185
 
dc.identifier.doihttp://dx.doi.org/10.1109/CSO.2011.185
 
dc.identifier.epage1200
 
dc.identifier.hkuros184625
 
dc.identifier.isbn978-0-7695-4335-2
 
dc.identifier.scopuseid_2-s2.0-80052006093
 
dc.identifier.spage1196
 
dc.identifier.urihttp://hdl.handle.net/10722/142832
 
dc.languageeng
 
dc.publisherIEEE Computer Society. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1002829
 
dc.relation.ispartofProceedings of the International Joint Conference on Computational Sciences and Optimization, CSO 2011
 
dc.relation.referencesReferences in Scopus
 
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License
 
dc.rightsProceedings of the International Joint Conference on Computational Sciences and Optimization. Copyright © IEEE Computer Society.
 
dc.rights©2011 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.
 
dc.subjectChain reaction of infectious defaults
 
dc.subjectCommon shock
 
dc.subjectDefault risk
 
dc.subjectMarkov chains
 
dc.subjectOne-sector model
 
dc.subjectTwo-sector model
 
dc.titleOn infectious models for dependent default risk
 
dc.typeConference_Paper
 
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<subject>Chain reaction of infectious defaults</subject>
<subject>Common shock</subject>
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<subject>Markov chains</subject>
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Author Affiliations
  1. The University of Hong Kong
  2. Macquarie University