Analysis of credit event impact with self-exciting intensity model

スポンサーリンク

概要

• 論文の詳細を見る

• The aim of this article is to examine self-exciting effect and/or mutually exciting effect on rating migrations. First, we examine with self-exciting/mutually exciting intensity models whether such effect can be observed for rating migrations in Japanese enterprises. Second, we analyze which explanatory variable is more significant to the jump of the intensity via model selection with Akaike information criterion (AIC).

著者

• Sugihara Masaaki

  Graduate School of Information Science and Technology, The University of Tokyo

• Nakagawa Hidetoshi

  Graduate School of International Corporate Strategy, Hitotsubashi University

• Yamanaka Suguru

  Graduate School of Information Science and Technology, The University of Tokyo

関連論文

• Analysis of credit event impact with self-exciting intensity model
• Analysis of downgrade risk in credit portfolios with self-exciting intensity model
• Error estimates with explicit constants for the tanh rule and the DE formula for indefinite integrals
• On boundedness of the condition number of the coefficient matrices appearing in Sinc-Nyström methods for Fredholm integral equations of the second kind

スポンサーリンク