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An improved multivariate Markov chain model for credit risk

Ching, Wai Ki; Siu, Tak Kuen; Li, Li-min; Jiang, Hao; … - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 83-106

Persistent link: https://www.econbiz.de/10003927496

On reduced-form intensity-based model with "trigger" events

Gu, Jia-wen; Ching, Wai Ki; Siu, Tak Kuen; Zheng, Henry - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 331-339

Persistent link: https://www.econbiz.de/10010251709

A flexible markov chain approach for multivariate credit ratings

Fung, Eric S.; Siu, Tak Kuen - In: Computational economics 39 (2012) 2, pp. 135-143

Persistent link: https://www.econbiz.de/10009513179

A risk-based approach for asset allocation with a defaultable share

Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...

Persistent link: https://www.econbiz.de/10011811551