Correlation Structures of Correlated Binomial Models and Implied Default Distribution(Cross-disciplinary physics and related areas of science and technology)
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概要
- 論文の詳細を見る
We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables. We study implied default distributions for the iTraxx-CJ tranches and some popular probabilistic models, including the Gaussian copula model, Beta binomial distribution model and long-range Ising model. We interpret the differences in their profiles in terms of the correlation structures. The implied default distribution has singular correlation structures, reflecting the credit market implications. We point out two possible origins of the singular behavior.
- 社団法人日本物理学会の論文
- 2008-11-15
著者
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Hisakado Masato
Standard & Poor's
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Mori Shintaro
Department Of Neurosurgery Hiroshima University School Of Medicine
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Mori Shintaro
Department Of Physics School Of Science Kitasato University
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KITSUKAWA Kenji
Daiwa Securities SMBC
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Mori Shintaro
Department Of Neurosurgery
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Mori Shintaro
Department of Geriatric Medicine, Osaka University Medical School
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