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Modeling financial risk: from uni- to bi-directional.

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

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325432
Date January 2005
ContributorsYeung, Kin Bong., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vii, 73 leaves : ill. ; 30 cm.
RightsUse 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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