Interacting default intensity with a hidden Markov process
Author
Abstract
Suggested Citation
DOI: 10.1080/14697688.2016.1237036
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Interacting Default Intensity with Hidden Markov Process," Papers 1603.02902, arXiv.org.
References listed on IDEAS
- Duffie, Darrell & Saita, Leandro & Wang, Ke, 2007.
"Multi-period corporate default prediction with stochastic covariates,"
Journal of Financial Economics, Elsevier, vol. 83(3), pages 635-665, March.
- Darrel Duffie & Leandro Saita & Ke Wang, 2005. "Multi-Period Corporate Default Prediction With Stochastic Covariates," CIRJE F-Series CIRJE-F-373, CIRJE, Faculty of Economics, University of Tokyo.
- Darrell Duffie & Leandro Siata & Ke Wang, 2006. "Multi-Period Corporate Default Prediction With Stochastic Covariates," NBER Working Papers 11962, National Bureau of Economic Research, Inc.
- Darrel Duffie & Leandro Saita & Ke Wang, 2005. "Multi-Period Corporate Default Prediction With Stochastic Covariates," CARF F-Series CARF-F-047, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Fan Yu, 2007. "Correlated Defaults In Intensity‐Based Models," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 155-173, April.
- Robert Elliott & Jia Shen, 2015. "Credit risk and contagion via self-exciting default intensity," Annals of Finance, Springer, vol. 11(3), pages 319-344, November.
- Robert Elliott & Jia Shen, 2015. "Dynamic optimal capital structure with regime switching," Annals of Finance, Springer, vol. 11(2), pages 199-220, May.
- Robert A. Jarrow & Stuart M. Turnbull, 2008.
"Pricing Derivatives on Financial Securities Subject to Credit Risk,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409,
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Turnbull, Stuart M, 1995. "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
- Harry Zheng & Lishang Jiang, 2009. "Basket CDS pricing with interacting intensities," Finance and Stochastics, Springer, vol. 13(3), pages 445-469, September.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Rüdiger Frey & Wolfgang Runggaldier, 2010. "Pricing credit derivatives under incomplete information: a nonlinear-filtering approach," Finance and Stochastics, Springer, vol. 14(4), pages 495-526, December.
- Kay Giesecke & Lisa R. Goldberg & Xiaowei Ding, 2011. "A Top-Down Approach to Multiname Credit," Operations Research, INFORMS, vol. 59(2), pages 283-300, April.
- Rama Cont, 2008. "Frontiers in Quantitative Finance: credit risk and volatility modeling," Post-Print hal-00437588, HAL.
- Shaked, Moshe & George Shanthikumar, J., 1987. "The multivariate hazard construction," Stochastic Processes and their Applications, Elsevier, vol. 24(2), pages 241-258, May.
- R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195, April.
- Francis A. Longstaff & Arvind Rajan, 2008.
"An Empirical Analysis of the Pricing of Collateralized Debt Obligations,"
Journal of Finance, American Finance Association, vol. 63(2), pages 529-563, April.
- Francis A. Longstaff & Arvind Rajan, 2006. "An Empirical Analysis of the Pricing of Collateralized Debt Obligations," NBER Working Papers 12210, National Bureau of Economic Research, Inc.
- Robert A. Jarrow & Fan Yu, 2008.
"Counterparty Risk and the Pricing of Defaultable Securities,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515,
World Scientific Publishing Co. Pte. Ltd..
- Robert A. Jarrow & Fan Yu, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013.
"On pricing basket credit default swaps,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1845-1854, December.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2012. "On Pricing Basket Credit Default Swaps," Papers 1204.4025, arXiv.org.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Puneet Pasricha & Dharmaraja Selvamuthu & Guglielmo D’Amico & Raimondo Manca, 2020. "Portfolio optimization of credit risky bonds: a semi-Markov process approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-14, December.
- Feng-Hui Yu & Jiejun Lu & Jia-Wen Gu & Wai-Ki Ching, 2019. "Modeling Credit Risk with Hidden Markov Default Intensity," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1213-1229, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Feng-Hui Yu & Jiejun Lu & Jia-Wen Gu & Wai-Ki Ching, 2019. "Modeling Credit Risk with Hidden Markov Default Intensity," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1213-1229, October.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013.
"On pricing basket credit default swaps,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1845-1854, December.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2012. "On Pricing Basket Credit Default Swaps," Papers 1204.4025, arXiv.org.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2014.
"On reduced-form intensity-based model with ‘trigger’ events,"
Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(3), pages 331-339, March.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Reduced Form Intensity-based Model with Trigger Events," Papers 1301.0109, arXiv.org.
- Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya, 2011. "Corporate bond default risk: A 150-year perspective," Journal of Financial Economics, Elsevier, vol. 102(2), pages 233-250.
- Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
- Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
- Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
- Yinghui Dong & Guojing Wang & Kam C. Yuen, 2014. "Bilateral Counterparty Risk Valuation on a CDS with a Common Shock Model," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 643-673, September.
- Jobst, Norbert J. & Zenios, Stavros A., 2005. "On the simulation of portfolios of interest rate and credit risk sensitive securities," European Journal of Operational Research, Elsevier, vol. 161(2), pages 298-324, March.
- Pu, Xiaoling & Zhao, Xinlei, 2012. "Correlation in credit risk changes," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1093-1106.
- Li, Gang & Zhang, Chu, 2019. "Counterparty credit risk and derivatives pricing," Journal of Financial Economics, Elsevier, vol. 134(3), pages 647-668.
- Nguyen, Ha, 2023. "An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 103-121.
- Jose Giancarlo Gasha & Mr. Andre O Santos & Mr. Jorge A Chan-Lau & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
- Song Han & Xing Zhou, 2014. "Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction," Management Science, INFORMS, vol. 60(3), pages 675-694, March.
- Choe, Geon Ho & Choi, So Eun & Jang, Hyun Jin, 2020. "Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Bhanu Pratap Singh Thakur & M. Kannadhasan & Vinay Goyal, 2018. "Determinants of corporate credit spread: evidence from India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(1), pages 59-73, March.
- Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2018. "Dynamic Dependence and Diversification in Corporate Credit [Asymmetric correlations of equity portfolios]," Review of Finance, European Finance Association, vol. 22(2), pages 521-560.
- Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
- Daniel Rösch & Harald Scheule, 2011.
"Securitization rating performance and agency incentives,"
BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 287-314,
Bank for International Settlements.
- Daniel Roesch & Harald Scheule, 2011. "Securitization Rating Performance and Agency Incentives," Working Papers 182011, Hong Kong Institute for Monetary Research.
- Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2014.
"Examining what best explains corporate credit risk: accounting-based versus market-based models,"
Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(2), pages 253-276, April.
- Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2012. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Working Papers 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:17:y:2017:i:5:p:781-794. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.