arXiv subjects

Wai-Ki Ching

Publications and source records attributed to Wai-Ki Ching.

21 records · Page 2Linked to original sources

arXiv2013

On Reduced Form Intensity-based Model with Trigger Events

Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model for credit risk analysis, we introduce a new type of reduced-form intensity-based model that can incorporate the impacts of both observable "trigger" events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with trigger events. Both single-default and multiple-default cases are considered in this paper. In the former case, a simple expression for the distribution of the default time is obtained. Applications of the proposed model to price defaultable bonds and multi-name Credit Default Swaps (CDSs) are provided.

q-fin.CP↗

arXiv2012

On Pricing Basket Credit Default Swaps

In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. We give the analytical expressions for the ordered default time distributions with recursive formulas for the coefficients, which makes the calculation fast and efficient in finding rates of basket CDSs. In the homogeneous case, we explore the ordered default time in limiting case and further include the exponential decay and the multistate stochastic intensity process. The numerical study indicates that, in the valuation of the swap rates and their sensitivities with respect to underlying parameters, our proposed model outperforms the Monte Carlo method.

q-fin.PR↗

arXiv2011

Analysis of the impact degree distribution in metabolic networks using branching process approximation

Theoretical frameworks to estimate the tolerance of metabolic networks to various failures are important to evaluate the robustness of biological complex systems in systems biology. In this paper, we focus on a measure for robustness in metabolic networks, namely, the impact degree, and propose an approximation method to predict the probability distribution of impact degrees from metabolic network structures using the theory of branching process. We demonstrate the relevance of this method by testing it on real-world metabolic networks. Although the approximation method possesses a few limitations, it may be a powerful tool for evaluating metabolic robustness.

q-bio.MN↗