Abstract
To use an intensity-based model for portfolio credit risk using a collection of hidden Markov-modulated single jump processes.
| Original language | English |
|---|---|
| Pages (from-to) | 92 |
| Number of pages | 1 |
| Journal | Expo 2012 Higher Degree Research : book of abstracts |
| Publication status | Published - 2012 |
| Event | Higher Degree Research Expo (8th : 2012) - Sydney Duration: 12 Nov 2012 → 13 Nov 2012 |
Keywords
- Intensity-Based Credit Model
- Hidden Markov Chain
- Frailty Model
- Robust Filters
- Joint Default Probability