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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302958
Description: We discuss a general problem of optimal strategies for insurance, consumption and investment in a changing economic environment described by a continuous-time regime switching model. We consider the s ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/216934
Description: In this paper, we propose a novel Two-level Particle Swarm Optimization (TLPSO) to solve the credit portfolio management problem. A two-date credit portfolio management model is considered. The object ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/271778
Description: 10 page(s)
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/269887
Description: We study an optimal investment-reinsurance problem for an insurer who faces dynamic risk constraint in a Markovian regime-switching environment. The goal of the insurer is to maximize the expected uti ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/188893
Description: We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian r ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/179624
Description: This paper develops a model for measuring the risk inherent from trading a bond position under some important stochastic interest rate models. We employ the value at risk (VaR) and expected shortfall ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/310917
Description: Modelling dependent defaults has long been a central issue for credit risk measurement and management. To address this important issue, we introduce a Markovian infectious model to describe the depend ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136325
Description: In this paper, we study the problem of modelling the dependence of defaults in several sectors. We consider a network-based model for the default data sequences and model the sequences by a Markov cha ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/110253
Description: In this paper, we develop an option valuation model in the context of a discrete-time multivariate Markov chain model using the Esscher transform. The multivariate Markov chain provides a flexible way ... More
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Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/211195
Description: This paper develops a valuation model for a perpetual convertible bond when the price dynamics of the underlying share are governed by continuous-time Markovian regime-switching models. We suppose tha ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/140420
Description: In this paper we use Ching's multivariate Markov chain model to model the dependency of rating transitions of several credit entities. The model is an enhancement of the multivariate Markov chain mode ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138028
Description: In this paper, we first introduce the use of an interactive hidden Markov model (IHMM) for modeling and analyzing default data in a sector. Under the IHMM, transitions of the hidden risk states of the ... More
Reviewed: Reviewed
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136065
Description: Estimating and forecasting the unobservable states of an economy are important and practically relevant topics in economics. Central bankers and regulators can use information about the market expecta ... More
Reviewed: Reviewed
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136088
Description: In this paper, we use credibility theory to estimate credit transition matrices in a multivariate Markov chain model for credit rating. A transition matrix is estimated by a linear combination of the ... More
Reviewed: Reviewed
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