Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry - In: Journal of the Operational Research Society 65 (2014) 3, pp. 331-339
Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model for credit risk analysis, we introduce a new type of reduced-form intensity-based model that can...