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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303613
Description: Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model fo ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/262165
Description: One of the central issues in credit risk measurement and management is modeling and predicting correlated defaults. In this paper we introduce a novel model to investigate the relationship between cor ... 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: 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
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