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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

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

On reduced-form intensity-based model with "trigger" events

Gu, Jia-wen; Ching, Wai Ki; Siu, Tak Kuen; Zheng, Henry - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 331-339

Persistent link: https://www.econbiz.de/10010251709

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

An improved multivariate Markov chain model for credit risk

Ching, Wai Ki; Siu, Tak Kuen; Li, Li-min; Jiang, Hao; … - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 83-106

Persistent link: https://www.econbiz.de/10003927496

On infectious model for dependent defaults

Ching, Wai Ki; Gud, Jia-Wen; Li, Xiaoyue; Siuf, Tak-Kuen; … - In: Risk and decision analysis 6 (2017) 4, pp. 249-261

Persistent link: https://www.econbiz.de/10011925099

Ching, Wai-Ki - 2019

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...

Persistent link: https://www.econbiz.de/10012862529