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Conference Paper: On infectious models for dependent default risk

TitleOn infectious models for dependent default risk
Authors
Gu, JChing, WKSiu, TK
KeywordsChain reaction of infectious defaults
Common shock
Default risk
Markov chains
One-sector model
Two-sector model
Issue Date2011
PublisherIEEE Computer Society. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1002829
Citation
The 4th International Joint Conference on Computational Sciences and Optimization (CSO 2011), Yunnan, China, 15-19 April 2011. In Proceedings of the 4th CSO, 2011, p. 1196-1200 How to Cite?
DOI: http://dx.doi.org/10.1109/CSO.2011.185
AbstractModeling dependent defaults is a key issue in risk measurement and management. In this paper, we introduce a Markovian infectious model to describe the dependent relationship of default processes of credit entities. The key idea of the proposed model is based on the concept of common shocks adopted in the insurance industry. We compare the proposed model to both one-sector and two-sector models considered in the credit literature using real default data. A log-likelihood ratio test is applied to compare the goodness-of- fit of the proposed model. Our empirical results reveal that the proposed model outperforms both the one-sector and two-sector models. © 2011 IEEE.
Persistent Identifierhttp://hdl.handle.net/10722/142832
ISBN
978-0-7695-4335-2
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorGu, Jen_HK
dc.contributor.authorChing, WKen_HK
dc.contributor.authorSiu, TKen_HK
dc.date.accessioned2011-10-28T02:56:23Z-
dc.date.available2011-10-28T02:56:23Z-
dc.date.issued2011en_HK
dc.identifier.citationThe 4th International Joint Conference on Computational Sciences and Optimization (CSO 2011), Yunnan, China, 15-19 April 2011. In Proceedings of the 4th CSO, 2011, p. 1196-1200en_HK
dc.identifier.isbn978-0-7695-4335-2-
dc.identifier.urihttp://hdl.handle.net/10722/142832-
dc.description.abstractModeling dependent defaults is a key issue in risk measurement and management. In this paper, we introduce a Markovian infectious model to describe the dependent relationship of default processes of credit entities. The key idea of the proposed model is based on the concept of common shocks adopted in the insurance industry. We compare the proposed model to both one-sector and two-sector models considered in the credit literature using real default data. A log-likelihood ratio test is applied to compare the goodness-of- fit of the proposed model. Our empirical results reveal that the proposed model outperforms both the one-sector and two-sector models. © 2011 IEEE.en_HK
dc.languageengen_US
dc.publisherIEEE Computer Society. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1002829en_US
dc.relation.ispartofProceedings of the International Joint Conference on Computational Sciences and Optimization, CSO 2011en_HK
dc.subjectChain reaction of infectious defaultsen_HK
dc.subjectCommon shocken_HK
dc.subjectDefault risken_HK
dc.subjectMarkov chainsen_HK
dc.subjectOne-sector modelen_HK
dc.subjectTwo-sector modelen_HK
dc.titleOn infectious models for dependent default risken_HK
dc.typeConference_Paperen_HK
dc.identifier.emailChing, WK:wching@hku.hken_HK
dc.identifier.authorityChing, WK=rp00679en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1109/CSO.2011.185en_HK
dc.identifier.scopuseid_2-s2.0-80052006093en_HK
dc.identifier.hkuros184625en_US
dc.identifier.hkuros160419-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-80052006093&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.spage1196en_HK
dc.identifier.epage1200en_HK
dc.description.otherThe 4th International Joint Conference on Computational Sciences and Optimization (CSO 2011), Yunnan, China, 15-19 April 2011. In Proceedings of the 4th CSO, 2011, p. 1196-1200-
dc.identifier.scopusauthoridGu, J=7403129472en_HK
dc.identifier.scopusauthoridChing, WK=13310265500en_HK
dc.identifier.scopusauthoridSiu, TK=8655758200en_HK

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