{"id":"https://openalex.org/W3124761585","doi":"https://doi.org/10.3233/rda-170131","title":"On infectious model for dependent defaults","display_name":"On infectious model for dependent defaults","publication_year":2018,"publication_date":"2018-02-01","ids":{"openalex":"https://openalex.org/W3124761585","doi":"https://doi.org/10.3233/rda-170131","mag":"3124761585"},"language":"en","primary_location":{"id":"doi:10.3233/rda-170131","is_oa":false,"landing_page_url":"https://doi.org/10.3233/rda-170131","pdf_url":null,"source":{"id":"https://openalex.org/S2764680446","display_name":"Risk and Decision Analysis","issn_l":"1569-7371","issn":["1569-7371","1875-9173"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Risk and Decision Analysis","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101987725","display_name":"Wai-Ki Ching","orcid":"https://orcid.org/0000-0003-4479-8192"},"institutions":[{"id":"https://openalex.org/I241749","display_name":"University of Cambridge","ror":"https://ror.org/013meh722","country_code":"GB","type":"education","lineage":["https://openalex.org/I241749"]},{"id":"https://openalex.org/I4210142478","display_name":"HKU-Pasteur Research Pole","ror":"https://ror.org/03wwjjr94","country_code":"HK","type":"facility","lineage":["https://openalex.org/I4210142478"]},{"id":"https://openalex.org/I75390827","display_name":"Beijing University of Chemical Technology","ror":"https://ror.org/00df5yc52","country_code":"CN","type":"education","lineage":["https://openalex.org/I75390827"]},{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]}],"countries":["CN","GB","HK"],"is_corresponding":false,"raw_author_name":"Wai-Ki Ching","raw_affiliation_strings":["Advanced Modeling and Applied Computing Laboratory, Department of Mathematics, The University of Hong Kong, Pokfulam Road, Hong Kong. E-mail:\u00a0wching@hku.hk","Hughes Hall, University of Cambridge, Wollaston Road, Cambridge, UK","School of Economics and Management, Beijing University of Chemical Technology, North Third Ring Road, Beijing, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Advanced Modeling and Applied Computing Laboratory, Department of Mathematics, The University of Hong Kong, Pokfulam Road, Hong Kong. E-mail:\u00a0wching@hku.hk","institution_ids":["https://openalex.org/I4210142478","https://openalex.org/I889458895"]},{"raw_affiliation_string":"Hughes Hall, University of Cambridge, Wollaston Road, Cambridge, UK","institution_ids":["https://openalex.org/I241749"]},{"raw_affiliation_string":"School of Economics and Management, Beijing University of Chemical Technology, North Third Ring Road, Beijing, China","institution_ids":["https://openalex.org/I75390827"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5035922342","display_name":"Jia-Wen Gu","orcid":"https://orcid.org/0000-0002-9131-902X"},"institutions":[{"id":"https://openalex.org/I3045169105","display_name":"Southern University of Science and Technology","ror":"https://ror.org/049tv2d57","country_code":"CN","type":"education","lineage":["https://openalex.org/I3045169105"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Jia-Wen Gu","raw_affiliation_strings":["Department of Mathematics, Southern University of Science and Technology, Shenzhen, China. E-mail:\u00a0jwgu.hku@gmail.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Southern University of Science and Technology, Shenzhen, China. E-mail:\u00a0jwgu.hku@gmail.com","institution_ids":["https://openalex.org/I3045169105"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101658546","display_name":"Xiaoyue Li","orcid":"https://orcid.org/0000-0002-2367-7431"},"institutions":[{"id":"https://openalex.org/I170215575","display_name":"National University of Defense Technology","ror":"https://ror.org/05d2yfz11","country_code":"CN","type":"education","lineage":["https://openalex.org/I170215575"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiaoyue Li","raw_affiliation_strings":["Department of Physics, National University of Defense Technology, Changsha, China. E-mail:\u00a0lixiaoyuemxy@163.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Physics, National University of Defense Technology, Changsha, China. E-mail:\u00a0lixiaoyuemxy@163.com","institution_ids":["https://openalex.org/I170215575"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5057293423","display_name":"Tak Kuen Siu","orcid":"https://orcid.org/0000-0003-2823-5138"},"institutions":[{"id":"https://openalex.org/I99043593","display_name":"Macquarie University","ror":"https://ror.org/01sf06y89","country_code":"AU","type":"education","lineage":["https://openalex.org/I99043593"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Tak-Kuen Siu","raw_affiliation_strings":["Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, NSW 2109, Australia. E-mail:\u00a0ken.siu@mq.edu.au"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, NSW 2109, Australia. E-mail:\u00a0ken.siu@mq.edu.au","institution_ids":["https://openalex.org/I99043593"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5070347857","display_name":"Harry Zheng","orcid":"https://orcid.org/0000-0002-5882-2088"},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Harry Zheng","raw_affiliation_strings":["Department of Mathematics, Imperial College, London, SW7 2AZ, UK. E-mail:\u00a0h.zheng@imperial.ac.uk"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Imperial College, London, SW7 2AZ, UK. E-mail:\u00a0h.zheng@imperial.ac.uk","institution_ids":["https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":4,"institutions_distinct_count":8,"corresponding_author_ids":["https://openalex.org/A5035922342"],"corresponding_institution_ids":["https://openalex.org/I3045169105"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.38965765,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"6","issue":"4","first_page":"249","last_page":"261"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11653","display_name":"Financial Distress and Bankruptcy Prediction","score":0.9950000047683716,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/default","display_name":"Default","score":0.9502637386322021},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6192641854286194},{"id":"https://openalex.org/keywords/causality","display_name":"Causality (physics)","score":0.4797888398170471},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.4462064802646637},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4425477981567383},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.43087661266326904},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3208564519882202},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11825037002563477},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.0990927517414093}],"concepts":[{"id":"https://openalex.org/C69637215","wikidata":"https://www.wikidata.org/wiki/Q702362","display_name":"Default","level":2,"score":0.9502637386322021},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6192641854286194},{"id":"https://openalex.org/C64357122","wikidata":"https://www.wikidata.org/wiki/Q1149766","display_name":"Causality (physics)","level":2,"score":0.4797888398170471},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4462064802646637},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4425477981567383},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.43087661266326904},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3208564519882202},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11825037002563477},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0990927517414093},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3233/rda-170131","is_oa":false,"landing_page_url":"https://doi.org/10.3233/rda-170131","pdf_url":null,"source":{"id":"https://openalex.org/S2764680446","display_name":"Risk and Decision Analysis","issn_l":"1569-7371","issn":["1569-7371","1875-9173"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Risk and Decision Analysis","raw_type":"journal-article"},{"id":"pmh:oai:hub.hku.hk:10722/252222","is_oa":false,"landing_page_url":"http://hdl.handle.net/10722/252222","pdf_url":null,"source":{"id":"https://openalex.org/S4377196271","display_name":"The HKU Scholars Hub (University of Hong Kong)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I889458895","host_organization_name":"University of Hong Kong","host_organization_lineage":["https://openalex.org/I889458895"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4099999964237213,"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W435759517","https://openalex.org/W1942835871","https://openalex.org/W1981979964","https://openalex.org/W2026889774","https://openalex.org/W2031168442","https://openalex.org/W2048451411","https://openalex.org/W2061389136","https://openalex.org/W2066477740","https://openalex.org/W2077791698","https://openalex.org/W2082317778","https://openalex.org/W2105973145","https://openalex.org/W2114192970","https://openalex.org/W2154533193","https://openalex.org/W2157721193","https://openalex.org/W2282382832","https://openalex.org/W2332838956","https://openalex.org/W2951509901","https://openalex.org/W3122906726","https://openalex.org/W4238081281","https://openalex.org/W4247660097"],"related_works":["https://openalex.org/W3111031756","https://openalex.org/W1532293414","https://openalex.org/W3124386825","https://openalex.org/W4388409052","https://openalex.org/W2534994603","https://openalex.org/W2742773638","https://openalex.org/W3164703356","https://openalex.org/W1933689484","https://openalex.org/W3124544458","https://openalex.org/W4387040975"],"abstract_inverted_index":{"In":[0,59],"this":[1,91],"paper,":[2],"we":[3,61],"propose":[4],"a":[5,29,50,63],"general":[6,30],"framework":[7],"for":[8,16,32],"modeling":[9],"discrete-time":[10],"default":[11,14,25,70,112],"risk":[12],"where":[13,68],"processes":[15],"all":[17],"the":[18,33,42,46,56,69,79,95,110,123,127],"entities":[19],"are":[20,138],"governed":[21],"by":[22],"predictable":[23],"interacting":[24],"probabilities.":[26],"We":[27],"give":[28],"formula":[31],"joint":[34],"distribution":[35],"of":[36,45,49,55,82,84,90,97,99,109],"two":[37,100],"important":[38],"random":[39],"variables":[40],"featuring":[41],"seve":[43],"rity":[44],"crisis:":[47],"duration":[48],"crisis":[51],"(T)":[52],"and":[53,76],"severity":[54],"defaults":[57,83,98],"(WT).":[58],"particular,":[60],"present":[62],"two-sector":[64,128],"Markovian":[65],"infectious":[66],"model,":[67],"probability":[71],"is":[72,93,102,119,146],"switching":[73],"over":[74],"time":[75],"depends":[77],"on":[78],"current":[80],"number":[81],"both":[85,104],"sectors.":[86],"The":[87,114],"central":[88],"idea":[89],"model":[92,125,129,145],"that":[94,142],"causality":[96],"sectors":[101],"in":[103,130],"directions,":[105],"which":[106],"enrich":[107],"dynamics":[108],"dependent":[111],"risk.":[113],"Bayesian":[115],"Information":[116],"Criterion":[117],"(BIC)":[118],"adopted":[120],"to":[121,140],"compare":[122],"proposed":[124,144],"with":[126],"credit":[131],"literature":[132],"using":[133],"real":[134],"data.":[135],"Numerical":[136],"experiments":[137],"given":[139],"demonstrate":[141],"our":[143],"statistically":[147],"better.":[148]},"counts_by_year":[],"updated_date":"2026-07-22T07:51:19.307946","created_date":"2025-10-10T00:00:00"}