Interacting default intensity with a hidden Markov process

DOI10.1080/14697688.2016.1237036zbMath1402.91862arXiv1603.02902OpenAlexW2293649708MaRDI QIDQ4555109

Wai-Ki Ching, Feng-Hui Yu, Tak Kuen Siu, Jia-Wen Gu

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.02902

zbMATH Keywords

credit derivativesdefault riskhidden Markov model (HMM)reduced-form intensity model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

Cites Work

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