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Conference Paper: A hidden Markov reduced-form risk model

TitleA hidden Markov reduced-form risk model
Authors
KeywordsHidden markov
Risk model
Issue Date2014
PublisherIEEE. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1000115
Citation
The 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics (CIFEr), London, UK., 27-28 March 2014. In Conference Proceedings, 2014, p. 190--196 How to Cite?
AbstractIn this paper, we propose a reduced-form credit risk model with a hidden state process. The hidden state process is adopted to model the underlying economic environment with an observable state revealing the delayed and noisy information of the underlying economic state. Our model is a generalization of the work in Gu et al. [1]. Under this framework, we give a computational method to extract the underlying economic state and to find the distribution of multiple default times. Numerical experiment is conducted to illustrate the impact of change in observable state and the contagion effect of defaults.
Persistent Identifierhttp://hdl.handle.net/10722/207210
ISBN

 

DC FieldValueLanguage
dc.contributor.authorGu, J-
dc.contributor.authorChing, WK-
dc.contributor.authorZheng, H-
dc.date.accessioned2014-12-19T03:46:41Z-
dc.date.available2014-12-19T03:46:41Z-
dc.date.issued2014-
dc.identifier.citationThe 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics (CIFEr), London, UK., 27-28 March 2014. In Conference Proceedings, 2014, p. 190--196-
dc.identifier.isbn978-147992380-9-
dc.identifier.urihttp://hdl.handle.net/10722/207210-
dc.description.abstractIn this paper, we propose a reduced-form credit risk model with a hidden state process. The hidden state process is adopted to model the underlying economic environment with an observable state revealing the delayed and noisy information of the underlying economic state. Our model is a generalization of the work in Gu et al. [1]. Under this framework, we give a computational method to extract the underlying economic state and to find the distribution of multiple default times. Numerical experiment is conducted to illustrate the impact of change in observable state and the contagion effect of defaults.-
dc.languageeng-
dc.publisherIEEE. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1000115-
dc.relation.ispartofProceedings of the IEEE/IAFE Computational Intelligence for Financial Engineering (CIFEr)-
dc.rightsProceedings of the IEEE/IAFE Computational Intelligence for Financial Engineering (CIFEr). Copyright © IEEE.-
dc.rights©2014 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.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectHidden markov-
dc.subjectRisk model-
dc.titleA hidden Markov reduced-form risk modelen_US
dc.typeConference_Paperen_US
dc.identifier.emailChing, WK: wching@hku.hk-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.1109/CIFEr.2014.6924072-
dc.identifier.scopuseid_2-s2.0-84908121783-
dc.identifier.hkuros241889-
dc.identifier.spage190-
dc.publisher.placeUnited States-
dc.customcontrol.immutablesml 141219-

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