Jin-Chuan Duan

National University of Singapore

Professor

Mochtar Riady Building

15 Kent Ridge Drive

Singapore, 119245

Singapore

SCHOLARLY PAPERS

3

DOWNLOADS

71

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

Proxy CDS Curves for Individual Corporates Globally

Number of pages: 18 Posted: 20 Sep 2017
Jin-Chuan Duan
National University of Singapore
Downloads 43 (424,037)

Abstract:

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Actuarial spread, distance to default, credit cycle index, investment grade, high yield, big-data, zero-norm penalty, sequential Monte Carlo

Proxy CDS Curves for Individual Corporates Globally

Posted: 20 Sep 2017
Jin-Chuan Duan
National University of Singapore

Abstract:

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Actuarial spread, distance to default, credit cycle index, investment grade, high yield, big-data, zero-norm penalty, sequential Monte Carlo

2.

Dynamic Macro Scenario Analysis via Bridge Sampling

Number of pages: 41 Posted: 18 Oct 2017 Last Revised: 14 Jun 2018
Jin-Chuan Duan and Yanqi Zhu
National University of Singapore and National University of Singapore (NUS) - Department of Economics, Students
Downloads 15 (555,099)

Abstract:

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Conditional Forecast, Sequential Monte Carlo, Density Tempering, Parameter Uncertainty, Gaussian Models, Inflation Targeting

3.

Variable Selection with Big Data based on Zero Norm and via Sequential Monte Carlo

Number of pages: 24 Posted: 21 May 2019
Jin-Chuan Duan
National University of Singapore
Downloads 13 (567,452)

Abstract:

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Lasso, tempering, extreme value, regression