Cho-Jieh Chen, Ph.D.
Affiliations: | 2003 | University of Waterloo, Waterloo, ON, Canada |
Area:
Statistics, FinanceGoogle:
"Cho-Jieh Chen"Parents
Sign in to add mentor| Harry Panjer | grad student | 2003 | University of Waterloo | |
| (Credit risk modelling: Unifying structural models and reduced -form models.) | ||||
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Publications
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| Chen CJ, Panjer H. (2009) A bridge from ruin theory to credit risk Review of Quantitative Finance and Accounting. 32: 373-403 |
| Chen CJ, Panjer H. (2003) Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process Insurance: Mathematics and Economics. 33: 357-380 |