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Article: On reduced-form intensity-based model with 'trigger' events

TitleOn reduced-form intensity-based model with 'trigger' events
Authors
Gu, JChing, WKSiu, TZheng, H
Keywords'trigger' events
basket credit default swaps
Cox process
defaultable bonds
multiple defaults
reduced-form models
Issue Date2014
PublisherPalgrave Macmillan Ltd. The Journal's web site is located at http://www.palgrave-journals.com/jors/index.html
Citation
Journal of the Operational Research Society, 2014, v. 65 n. 3, p. 331-339 How to Cite?
DOI: http://dx.doi.org/10.1057/jors.2013.99
Persistent Identifierhttp://hdl.handle.net/10722/194956
ISSN
0160-5682
2022 Impact Factor: 3.6
2020 SCImago Journal Rankings: 0.753
ISI Accession Number ID
WOS:000331618600003

 

DC FieldValueLanguage
dc.contributor.authorGu, Jen_US
dc.contributor.authorChing, WKen_US
dc.contributor.authorSiu, Ten_US
dc.contributor.authorZheng, Hen_US
dc.date.accessioned2014-02-21T06:40:30Z-
dc.date.available2014-02-21T06:40:30Z-
dc.date.issued2014en_US
dc.identifier.citationJournal of the Operational Research Society, 2014, v. 65 n. 3, p. 331-339en_US
dc.identifier.issn0160-5682-
dc.identifier.urihttp://hdl.handle.net/10722/194956-
dc.languageengen_US
dc.publisherPalgrave Macmillan Ltd. The Journal's web site is located at http://www.palgrave-journals.com/jors/index.html-
dc.relation.ispartofJournal of the Operational Research Societyen_US
dc.rightsJournal of the Operational Research Society. Copyright © Palgrave Macmillan Ltd.-
dc.subject'trigger' events-
dc.subjectbasket credit default swaps-
dc.subjectCox process-
dc.subjectdefaultable bonds-
dc.subjectmultiple defaults-
dc.subjectreduced-form models-
dc.titleOn reduced-form intensity-based model with 'trigger' eventsen_US
dc.typeArticleen_US
dc.identifier.emailChing, WK: wching@hku.hken_US
dc.identifier.authorityChing, WK=rp00679en_US
dc.identifier.doi10.1057/jors.2013.99-
dc.identifier.scopuseid_2-s2.0-84894115751-
dc.identifier.hkuros228021en_US
dc.identifier.volume65en_US
dc.identifier.issue3-
dc.identifier.spage331en_US
dc.identifier.epage339en_US
dc.identifier.isiWOS:000331618600003-
dc.publisher.placeUnited Kingdom-
dc.identifier.issnl0160-5682-

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