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Article: On Correlated Defaults and Incomplete Information
Title | On Correlated Defaults and Incomplete Information |
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Authors | |
Keywords | Correlated defaults Brownian motions incomplete information intensity models |
Issue Date | 2021 |
Publisher | American Institute of Mathematical Sciences. The Journal's web site is located at https://www.aimsciences.org/journal/1547-5816 |
Citation | Journal of Industrial and Management Optimization, 2021, v. 17 n. 2, p. 889-908 How to Cite? |
Abstract | In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market participants includes the default time of each firm and the periodic asset value reports. In this situation, the default time of each firm becomes a totally inaccessible stopping time to the market participants. The original structural model is first transformed to a reduced-form model. Then the conditional distribution of the default time together with the asset value of each name are derived. We prove the existence of the intensity processes of default times and also give the explicit form of the intensity processes. Numerical studies on the intensities of the two correlated names are conducted for some special cases. |
Description | Bronze open access |
Persistent Identifier | http://hdl.handle.net/10722/300867 |
ISSN | 2021 Impact Factor: 1.411 2020 SCImago Journal Rankings: 0.325 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Ching, WK | - |
dc.contributor.author | Gu, JW | - |
dc.contributor.author | Zhang, H | - |
dc.date.accessioned | 2021-07-06T03:11:19Z | - |
dc.date.available | 2021-07-06T03:11:19Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Journal of Industrial and Management Optimization, 2021, v. 17 n. 2, p. 889-908 | - |
dc.identifier.issn | 1547-5816 | - |
dc.identifier.uri | http://hdl.handle.net/10722/300867 | - |
dc.description | Bronze open access | - |
dc.description.abstract | In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market participants includes the default time of each firm and the periodic asset value reports. In this situation, the default time of each firm becomes a totally inaccessible stopping time to the market participants. The original structural model is first transformed to a reduced-form model. Then the conditional distribution of the default time together with the asset value of each name are derived. We prove the existence of the intensity processes of default times and also give the explicit form of the intensity processes. Numerical studies on the intensities of the two correlated names are conducted for some special cases. | - |
dc.language | eng | - |
dc.publisher | American Institute of Mathematical Sciences. The Journal's web site is located at https://www.aimsciences.org/journal/1547-5816 | - |
dc.relation.ispartof | Journal of Industrial and Management Optimization | - |
dc.rights | Journal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences. | - |
dc.rights | This is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here]. | - |
dc.subject | Correlated defaults | - |
dc.subject | Brownian motions | - |
dc.subject | incomplete information | - |
dc.subject | intensity models | - |
dc.title | On Correlated Defaults and Incomplete Information | - |
dc.type | Article | - |
dc.identifier.email | Ching, WK: wching@hku.hk | - |
dc.identifier.authority | Ching, WK=rp00679 | - |
dc.description.nature | link_to_OA_fulltext | - |
dc.identifier.doi | 10.3934/jimo.2020003 | - |
dc.identifier.scopus | eid_2-s2.0-85101528703 | - |
dc.identifier.hkuros | 323248 | - |
dc.identifier.volume | 17 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 889 | - |
dc.identifier.epage | 908 | - |
dc.identifier.isi | WOS:000607872800019 | - |
dc.publisher.place | United States | - |