Estimation of default probability by three-factor structural model

IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)

Volumn 2003-January, Issue , 2003, Pages 9-15

  Hui, C H ^a   Lo, C F ^b   Huang, M X ^b  

^a HONG KONG MONETARY AUTHORITY   (Hong Kong)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Banking; Bonding; Cost accounting; Economic indicators; Loss measurement; Physics; Stochastic processes; Time measurement

Indexed keywords

ARTIFICIAL INTELLIGENCE; BONDING; COST ACCOUNTING; PHYSICS; PROBABILITY; RANDOM PROCESSES; STOCHASTIC SYSTEMS; TIME MEASUREMENT;

BANKING; BASEL CAPITAL ACCORD; DEFAULT PROBABILITIES; ECONOMIC INDICATORS; LOSS MEASUREMENT; PROBABILITY OF DEFAULTS; STRUCTURAL MODELING; TIME-DEPENDENT MODELS;

STOCHASTIC MODELS;

EID: 33947165968     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CIFER.2003.1196235     Document Type: Conference Paper

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