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- Publisher Website: 10.1109/CIFEr.2014.6924072
- Scopus: eid_2-s2.0-84908121783
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Conference Paper: A hidden Markov reduced-form risk model
| Title | A hidden Markov reduced-form risk model |
|---|---|
| Authors | |
| Keywords | Hidden markov Risk model |
| Issue Date | 2014 |
| Publisher | IEEE. 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? |
| Abstract | In 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 Identifier | http://hdl.handle.net/10722/207210 |
| ISBN |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Gu, J | - |
| dc.contributor.author | Ching, WK | - |
| dc.contributor.author | Zheng, H | - |
| dc.date.accessioned | 2014-12-19T03:46:41Z | - |
| dc.date.available | 2014-12-19T03:46:41Z | - |
| dc.date.issued | 2014 | - |
| dc.identifier.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 | - |
| dc.identifier.isbn | 978-147992380-9 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/207210 | - |
| dc.description.abstract | In 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.language | eng | - |
| dc.publisher | IEEE. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1000115 | - |
| dc.relation.ispartof | Proceedings of the IEEE/IAFE Computational Intelligence for Financial Engineering (CIFEr) | - |
| dc.subject | Hidden markov | - |
| dc.subject | Risk model | - |
| dc.title | A hidden Markov reduced-form risk model | en_US |
| dc.type | Conference_Paper | en_US |
| dc.identifier.email | Ching, WK: wching@hku.hk | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1109/CIFEr.2014.6924072 | - |
| dc.identifier.scopus | eid_2-s2.0-84908121783 | - |
| dc.identifier.hkuros | 241889 | - |
| dc.identifier.spage | 190 | - |
| dc.publisher.place | United States | - |
| dc.customcontrol.immutable | sml 141219 | - |