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Modeling credit risk with hidden Markov default intensity
Yu, Feng-Hui
;
Lu, Jiejun
;
Gu, Jia-Wen
;
Ching, Wai Ki
- In:
Computational economics
54
(
2019
)
3
,
pp. 1213-1229
Persistent link: https://www.econbiz.de/10012134519
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2
How correlation risk in basket credit derivatives might be priced and managed?
Zhu, Dong-Mei
;
Gu, Jia-wen
;
Yu, Feng-Hui
;
Ching, Wai Ki
; …
- In:
IMA journal of management mathematics
32
(
2021
)
2
,
pp. 195-219
Persistent link: https://www.econbiz.de/10012434401
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3
On modeling credit defaults : a probabilistic Boolean network approach
Gu, Jia-wen
;
Ching, Wai Ki
;
Siu, Tak Kuen
;
Zheng, Harry
- In:
Risk and decision analysis
4
(
2013
)
2
,
pp. 119-129
Persistent link: https://www.econbiz.de/10009782545
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