Yeung Kin Bong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 69-73). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Credit risk modeling --- p.3 / Chapter 1.2 --- Uniqueness of bi-directional: hybrid system --- p.4 / Chapter 1.3 --- Scope of the study --- p.5 / Chapter 2 --- Literature Review --- p.6 / Chapter 2.1 --- Statistical / Empirical approach --- p.6 / Chapter 2.2 --- Structural approach --- p.8 / Chapter 3 --- Background --- p.10 / Chapter 3.1 --- Merton structural default model --- p.10 / Chapter 3.2 --- Cross-sectional regression analysis (CRA) --- p.15 / Chapter 3.3 --- Neural network learning (NN) --- p.16 / Chapter 3.3.1 --- Single-layer network --- p.17 / Chapter 3.3.2 --- Multi-layer perceptron (MLP) --- p.20 / Chapter 3.3.3 --- Back-propagation network --- p.22 / Chapter 3.3.4 --- "Supervised, unsupervised and combine unsupervised-supervised learning" --- p.23 / Chapter 3.4 --- Weaknesses of uni-directional modeling --- p.23 / Chapter 4 --- Methodology --- p.26 / Chapter 4.1 --- Bi-directional modeling --- p.26 / Chapter 4.2 --- Asset price estimation --- p.31 / Chapter 4.3 --- Quantifying accounting data noise --- p.33 / Chapter 5 --- Proposed Model --- p.37 / Chapter 5.1 --- Core of the model --- p.37 / Chapter 5.2 --- Feature selection --- p.41 / Chapter 5.3 --- Bi-directional default neural system --- p.44 / Chapter 6 --- Implementations --- p.49 / Chapter 6.1 --- Data preparation --- p.50 / Chapter 6.2 --- Experiment --- p.51 / Chapter 6.3 --- Empirical results --- p.61 / Chapter 6.3.1 --- Predicted spreads from the uni-directional models --- p.61 / Chapter 6.3.2 --- Predicted spreads from the proposed bi-directional model --- p.63 / Chapter 6.3.3 --- Performance comparison --- p.64 / Chapter 7 --- Conclusions --- p.67 / Bibliography --- p.69
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325432 |
| Date | January 2005 |
| Contributors | Yeung, Kin Bong., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vii, 73 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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