Imperial College London
Professor Harry Zheng

ProfessorHarryZheng

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8539h.zheng Website

 
 
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Location

 

6M16Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Gu:2014:10.1007/s10614-014-9469-0,
author = {Gu, J-W and Jiang, B and Ching, W-K and Zheng, H},
doi = {10.1007/s10614-014-9469-0},
journal = {Computational Economics},
pages = {157--177},
title = {On modeling economic default time: a reduced-form model approach},
url = {http://dx.doi.org/10.1007/s10614-014-9469-0},
volume = {47},
year = {2014}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by Guo et al. (Rev Deriv Res 11(3): 171–204, 2008) shows that the time difference between the economic and recorded default dates has a significant impact on recovery rate estimates. Guo et al. (http://arxiv.org/abs/1012.0843, 2011) develop a theoretical structural firm asset value model for a firm default process that embeds the distinction of these two default times. In this paper, we assume the market participants cannot observe the firm asset value directly and we develop reduced-form models for characterizing the economic and recorded default times. We derive the probability distributions of these two default times. Numerical experiments with empirical data are given to demonstrate the proposed models. Our approach helps researchers to gain a new perspective for economic and recorded defaults and is more feasible in general practice compared with current method. Our results can also contribute to the understanding of the impacts of various parameters on the economic and recorded default times.
AU  - Gu,J-W
AU  - Jiang,B
AU  - Ching,W-K
AU  - Zheng,H
DO  - 10.1007/s10614-014-9469-0
EP  - 177
PY  - 2014///
SN  - 1572-9974
SP  - 157
TI  - On modeling economic default time: a reduced-form model approach
T2  - Computational Economics
UR  - http://dx.doi.org/10.1007/s10614-014-9469-0
UR  - http://hdl.handle.net/10044/1/33997
VL  - 47
ER  -
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