Credit Defaults under the Factor Model
To improve understanding of the feature of default clustering in credit risk management, a team of researchers has come together to conduct investigations on a range of different projects. Professor Cheng-Der Fuh, who is based at the Graduate Institute of Statistics at National Central University, Taiwan, has done extensive work on a variety of topics related to the financial sector. One of his recent papers is concerned with correlated defaults, in which he, along with Dr Chu-Lan Kao from the National Chiao-Tung University, Taiwan, evaluates the joint default properties for multiple firms.
The findings from Fuh’s extensive research will have significant bearings on the finance, banking and insurance sectors for a long time to come. However, perhaps what is more important is that the new directions he has taken in his research will encourage others to do the same – paving the way for new breakthroughs that enable more effective credit risk management.
Document Type: Research Article
Publication date: July 1, 2018
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