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Article: An improved multivariate Markov chain model for credit risk

TitleAn improved multivariate Markov chain model for credit risk
Authors
KeywordsMarkov analysis
Credit risk
Linear programming
Credit ratings
Parameter estimation
Issue Date2009
PublisherIncisive Media Plc.. The Journal's web site is located at http://www.journalofcreditrisk.com
Citation
The Journal of Credit Risk, 2009/2010, v. 5 n. 4, p. 83-106 How to Cite?
AbstractIn this paper we use Ching's multivariate Markov chain model to model the dependency of rating transitions of several credit entities. The model is an enhancement of the multivariate Markov chain model for ratings considered by Siu et al. Our model is more parsimonious, flexible and empirically competent than the model used by Siu et al. We adopt an efficient method to calibrate the model parameters and formulate the estimation problem as a linear programming problem that can easily be solved using spreadsheets. We compare the estimation results and the computational efficiency of the enhanced model with that also empirically investigate the effect of incorporating both positive and negative associations on portfolio credit risks.
Persistent Identifierhttp://hdl.handle.net/10722/75374
ISSN
2015 Impact Factor: 0.258
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorChing, WKen_HK
dc.contributor.authorSiu, TKen_HK
dc.contributor.authorLi, LMen_HK
dc.contributor.authorJiang, Hen_HK
dc.contributor.authorLi, Ten_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T07:10:31Z-
dc.date.available2010-09-06T07:10:31Z-
dc.date.issued2009en_HK
dc.identifier.citationThe Journal of Credit Risk, 2009/2010, v. 5 n. 4, p. 83-106en_HK
dc.identifier.issn1744-6619-
dc.identifier.urihttp://hdl.handle.net/10722/75374-
dc.description.abstractIn this paper we use Ching's multivariate Markov chain model to model the dependency of rating transitions of several credit entities. The model is an enhancement of the multivariate Markov chain model for ratings considered by Siu et al. Our model is more parsimonious, flexible and empirically competent than the model used by Siu et al. We adopt an efficient method to calibrate the model parameters and formulate the estimation problem as a linear programming problem that can easily be solved using spreadsheets. We compare the estimation results and the computational efficiency of the enhanced model with that also empirically investigate the effect of incorporating both positive and negative associations on portfolio credit risks.-
dc.languageengen_HK
dc.publisherIncisive Media Plc.. The Journal's web site is located at http://www.journalofcreditrisk.com-
dc.relation.ispartofThe Journal of Credit Risken_HK
dc.subjectMarkov analysis-
dc.subjectCredit risk-
dc.subjectLinear programming-
dc.subjectCredit ratings-
dc.subjectParameter estimation-
dc.titleAn improved multivariate Markov chain model for credit risken_HK
dc.typeArticleen_HK
dc.identifier.emailChing, WK: wching@hkucc.hku.hken_HK
dc.identifier.emailSiu, TK: tksiu@graduate.hku.hken_HK
dc.identifier.emailLi, LM: liminli321@msn.comen_HK
dc.identifier.emailJiang, H: jiang_hao_191@163.comen_HK
dc.identifier.emailLi, T: litang323@hotmail.comen_HK
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hken_HK
dc.identifier.authorityChing, WK=rp00679en_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.identifier.hkuros167672en_HK
dc.identifier.volume5-
dc.identifier.issue4-
dc.identifier.spage83-
dc.identifier.epage106-
dc.identifier.isiWOS:000275019500005-
dc.publisher.placeUnited Kingdom-

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