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We employed a forward intensity approach to predict the multi-period defaults of Chinese-listed firms during period 2001–2019 on monthly basis. introduced firm’s default heterogeneity into model, and each actual past situation was considered for Bayesian estimation. Maximum pseudo-likelihood estimation conducted 3513 calculate parameters model adjust all 4216 firms. Finally, we re-calculated pr...

We propose a stable non-parametric algorithm for the calibration of pricing models for portfolio credit derivatives: given a set of observations of market spreads for CDO tranches, we construct a risk-neutral default intensity process for the portfolio underlying the CDO which matches these observations, by looking for the risk neutral loss process ’closest’ to a prior loss process, verifying t...

In the present paper we introduce a two-dimensional shifted square-root diffusion (SSRD) model for interest rate derivatives and single-name credit derivatives, in a stochastic intensity framework. The SSRD is the unique model, to the best of our knowledge, allowing for an automatic calibration of the term structure of interest rates and of credit default swaps (CDS’s). Moreover, the model reta...

By introducing the Jump-Diffusion Process and Markov Regime Shift, the paper explores Monte Carlo simulation to examine the pricing problem of single name Credit Default Swaps (CDS), which the price of CDS is affected by both unpredictable idiosyncratic risk and system risk caused by the macroeconomic change. The study shows that the price of CDS increases as the intensity and the amplitude of ...

From version 2.0 beadarray provides more flexibility in the processing of array images and the extraction of bead intensities than its predecessor. In the past intensity extraction from array images by beadarray attmepted to emulated that performed by Illumina, with minimal opportunities for deviation from this. Whilst the default approach taken in beadarray is still to emulated Illumina, we ha...

In this paper, we examine the effect of intra-industry credit contagion using three different kinds of intra-industry measures in our empirical study. We apply the competitive strategic measure (CSM) of Sundaram et al. (1996) to capture the strategic interaction faced by firms. We also consider the measure of industry-wide financial distress and the measure of equity correlations. We use the fo...

This paper presents a model for approximating the value of a basket of default-correlated assets and analyzes subordinate tranches in securitized debt obligations. The model is calibrated to an intensity-based simulation of correlated defaults and represents an alternative computation method to full Monte Carlo simulation. Timing of individual obligor defaults are driven by intensity processes ...

We study the implications of imperfect information for term structures of credit spreads on corporate bonds. We suppose that bond investors cannot observe the issuer’s assets directly, and receive instead only periodic and imperfect accounting reports. For a setting in which the assets of the firm are a geometric Brownian motion until informed equityholders optimally liquidate, we derive the co...