TY - GEN
T1 - Modeling portfolio credit risk using accelerated hazard rates
AU - Zhang, Lun
AU - Li, Jinlin
AU - Ran, Lun
PY - 2008
Y1 - 2008
N2 - In recent years, credit risk has played a key role in risk management issues. This paper accesses portfolio credit risk by using accelerated hazard rates. It explains how the concept of accelerated hazard rates, which used in reliability engineering, can be employed in finance to model credit risk, so as to link the default probabilities to the underlying macroeconomic and firm-specific factors.
AB - In recent years, credit risk has played a key role in risk management issues. This paper accesses portfolio credit risk by using accelerated hazard rates. It explains how the concept of accelerated hazard rates, which used in reliability engineering, can be employed in finance to model credit risk, so as to link the default probabilities to the underlying macroeconomic and firm-specific factors.
KW - Acceleration factors
KW - Hazard rates
KW - Portfolio credit risk
UR - http://www.scopus.com/inward/record.url?scp=64249172887&partnerID=8YFLogxK
U2 - 10.1109/WiCom.2008.2294
DO - 10.1109/WiCom.2008.2294
M3 - Conference contribution
AN - SCOPUS:64249172887
SN - 9781424421084
T3 - 2008 International Conference on Wireless Communications, Networking and Mobile Computing, WiCOM 2008
BT - 2008 International Conference on Wireless Communications, Networking and Mobile Computing, WiCOM 2008
T2 - 2008 International Conference on Wireless Communications, Networking and Mobile Computing, WiCOM 2008
Y2 - 12 October 2008 through 14 October 2008
ER -