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Date: 2013
Subject Keyword: 149900 Other Economics
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/310410
Description: In this article we discuss an intensity-based model for portfolio credit risk using a collection of hidden Markov-modulated single jump processes. The model can be viewed as a "dynamic" version of a f ... More
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/271701
Description: We introduce a new double threshold model with regime switches. New filtering equations are derived based on a reference probability approach. We also propose a new and practically useful method for i ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172299
Description: Modeling the dependence of credit ratings is an important issue for portfolio credit risk analysis. Multivariate Markov chain models are a feasible mathematical tool for modeling the dependence of cre ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138750
Description: We consider the pricing of both fixed rate and floating rate risky debts when the value of a firm is governed by a Markov-modulated generalized jump-diffusion model with the jump component described b ... More
Reviewed: Reviewed
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