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Article: Interacting Default Intensity with a Hidden Markov Process

TitleInteracting Default Intensity with a Hidden Markov Process
Authors
YU, FChing, WKGU, JSIU, TK
KeywordsCredit derivatives
Default risk
Hidden Markov model (HMM)
Reduced-form intensity model
Issue Date2017
PublisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/14697688.asp
Citation
Quantitative Finance , 2017, v. 17, p. 781-794 How to Cite?
DOI: http://dx.doi.org/10.1080/14697688.2016.1237036
Persistent Identifierhttp://hdl.handle.net/10722/240945
ISSN
1469-7688
2021 Impact Factor: 1.986
2020 SCImago Journal Rankings: 0.771
ISI Accession Number ID
WOS:000399596900009

 

DC FieldValueLanguage
dc.contributor.authorYU, F-
dc.contributor.authorChing, WK-
dc.contributor.authorGU, J-
dc.contributor.authorSIU, TK-
dc.date.accessioned2017-05-22T09:19:55Z-
dc.date.available2017-05-22T09:19:55Z-
dc.date.issued2017-
dc.identifier.citationQuantitative Finance , 2017, v. 17, p. 781-794-
dc.identifier.issn1469-7688-
dc.identifier.urihttp://hdl.handle.net/10722/240945-
dc.languageeng-
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/14697688.asp-
dc.relation.ispartofQuantitative Finance-
dc.rightsPostprint: This is an Accepted Manuscript of an article published by Taylor & Francis Group in [Quantitative Finance] on [2017], available online at: http://www.tandfonline.com/doi/abs/10.1080/14697688.2016.1237036-
dc.subjectCredit derivatives-
dc.subjectDefault risk-
dc.subjectHidden Markov model (HMM)-
dc.subjectReduced-form intensity model-
dc.titleInteracting Default Intensity with a Hidden Markov Process-
dc.typeArticle-
dc.identifier.emailChing, WK: wching@hku.hk-
dc.identifier.authorityChing, WK=rp00679-
dc.description.naturepostprint-
dc.identifier.doi10.1080/14697688.2016.1237036-
dc.identifier.scopuseid_2-s2.0-84994226706-
dc.identifier.hkuros272053-
dc.identifier.volume17-
dc.identifier.spage781-
dc.identifier.epage794-
dc.identifier.isiWOS:000399596900009-
dc.publisher.placeUnited Kingdom-
dc.identifier.issnl1469-7688-

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