Pricing defaultable bonds under Hawkes jump-diffusion processes

Chen, Li; Ma, Yong; Xiao, Weilin

doi:10.1016/j.frl.2022.102738

Finance Research Letters

2022

DOI: 10.1016/j.frl.2022.102738

|View full text |Cite

Pricing defaultable bonds under Hawkes jump-diffusion processes

Li Chen

Yong Ma

Weilin Xiao

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2023

Publication Types

Select...

Article1

Relationship

Self Cite0

Independent1

Authors

Journals

Cited by 1 publication

References 30 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method

Liu

2023

Mathematics

View full text Add to dashboard Cite

This paper investigates the financial default model with stochastic intensity by incomplete data. On the strength of the process-designated point process, the likelihood function of the model in the parameter estimation can be decomposed into the factor likelihood term and event likelihood term. The event likelihood term can be successfully estimated by the filtered likelihood method, and the factor likelihood term can be calculated in a standardized manner. The empirical study reveals that, under the filtered likelihood method, the first model outperforms the other in terms of parameter estimation efficiency, convergence speed, and estimation accuracy, and has a better prediction effect on the default data in China’s financial market, which can also be extended to other countries, which is of great significance in the default risk control of financial institutions.

show abstract

Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method

Liu

2023

Mathematics

View full text Add to dashboard Cite

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Pricing defaultable bonds under Hawkes jump-diffusion processes

Cited by 1 publication

References 30 publications

Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method

Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method

Contact Info

Product

Resources

About