Filtering a hidden Markov-modulated intensity-based credit risk model

Shiu Fung Wong

Research output: Contribution to journalMeeting abstract

Abstract

To use an intensity-based model for portfolio credit risk using a collection of hidden Markov-modulated single jump processes.
Original languageEnglish
Pages (from-to)92
Number of pages1
JournalExpo 2012 Higher Degree Research : book of abstracts
Publication statusPublished - 2012
EventHigher Degree Research Expo (8th : 2012) - Sydney
Duration: 12 Nov 201213 Nov 2012

Keywords

  • Intensity-Based Credit Model
  • Hidden Markov Chain
  • Frailty Model
  • Robust Filters
  • Joint Default Probability

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