P.O. Box 600
Wellington, 6140
New Zealand
http://homepages.ecs.vuw.ac.nz/Users/BudhiSurya/WebHome
Victoria University of Wellington
credit risk, endogenous bankruptcy, optimal capital structure, spectrally negative Levy processes, term structure of credit spreads
Markov chains, Markov mixture processes, phase-type distributions, forward intensity, lifetime and survival analysis
Doubly stochastic Poisson process, jump Markov process, forward intensity approach, phase-type distribution, survival analysis, competing risks, credit risk
COVID-19; SARS-CoV-2; Coronavirus; Stochastic intensity model; Stochastic epidemic model; Two-phase dynamic contagion process
Markov jump process, mixture of Markov jump processes, first exit times, conditional multivariate distributions, phase-type model