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Article: A reduced-form model for correlated defaults with regime-switching shot noise intensities

TitleA reduced-form model for correlated defaults with regime-switching shot noise intensities
Authors
Dong, YYuen, KCWang, GWu, C
KeywordsCommon shocks
Contagion model
Credit default swaps
Regime-switching
Shot noise intensities
Issue Date2016
PublisherSpringer. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841
Citation
Methodology and Computing in Applied Probability, 2016, v. 18, p. 459-486 How to Cite?
DOI: http://dx.doi.org/10.1007/s11009-014-9431-6
Persistent Identifierhttp://hdl.handle.net/10722/214579
ISSN
1387-5841
2021 Impact Factor: 0.880
2020 SCImago Journal Rankings: 0.481
ISI Accession Number ID
WOS:000374677800009

 

DC FieldValueLanguage
dc.contributor.authorDong, Y-
dc.contributor.authorYuen, KC-
dc.contributor.authorWang, G-
dc.contributor.authorWu, C-
dc.date.accessioned2015-08-21T11:38:54Z-
dc.date.available2015-08-21T11:38:54Z-
dc.date.issued2016-
dc.identifier.citationMethodology and Computing in Applied Probability, 2016, v. 18, p. 459-486-
dc.identifier.issn1387-5841-
dc.identifier.urihttp://hdl.handle.net/10722/214579-
dc.languageeng-
dc.publisherSpringer. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841-
dc.relation.ispartofMethodology and Computing in Applied Probability-
dc.rightsThe final publication is available at Springer via http://dx.doi.org/[insert DOI]-
dc.subjectCommon shocks-
dc.subjectContagion model-
dc.subjectCredit default swaps-
dc.subjectRegime-switching-
dc.subjectShot noise intensities-
dc.titleA reduced-form model for correlated defaults with regime-switching shot noise intensities-
dc.typeArticle-
dc.identifier.emailDong, Y: yhd1030@hku.hk-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s11009-014-9431-6-
dc.identifier.scopuseid_2-s2.0-84917706476-
dc.identifier.hkuros249988-
dc.identifier.volume18-
dc.identifier.spage459-
dc.identifier.epage486-
dc.identifier.eissn1573-7713-
dc.identifier.isiWOS:000374677800009-
dc.identifier.issnl1387-5841-

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