Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events-Reference-Cited by-同舟云学术

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Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events

Published:2018-07-12 Issue:3 Volume:35 Page:681-703
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

Miao Daniel Wei‐Chung¹,Lin Xenos Chang‐Shuo²,Yu Steve Hsin‐Ting³,Lee Yung‐Hsin⁴

Affiliation:

1. Graduate Institute of FinanceNational Taiwan University of Science and Technology Taipei Taiwan

2. Department of Accounting Information, Aletheia University New Taipei City Taiwan

3. Taiwan Futures Exchange Taipei Taiwan

4. Industrial‐Academic Research and Development CenterLunghwa University of Science and Technology Taoyuan Taiwan

Funder

National Science Council

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2371

Reference25 articles.

1. On the pricing of corporate debt: the risk structure of interest rates;Merton RC;J Financ,1974

2. An Analysis of Default Correlations and Multiple Defaults

3. On cox processes and credit risky securities

4. Pricing the risks of default

5. DuffieD SingletonK.Simulating Correlated Defaults. Working Paper.Stanford CA:Graduate School of Business Stanford University;1999.

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