Analysis of downgrade risk in credit portfolios with self-exciting intensity model

スポンサーリンク

概要

• 論文の詳細を見る

• We present an intensity based credit rating migration model and execute empirical analyses on forecasting the number of downgrades in some credit portfolios. The framework of the model is based on so-called top-down approach. We firstly model economy-wide rating migration intensity with a self-exciting stochastic process. Next, we characterize the downgrade intensity for the underlying sub-portfolio with some thinning model specified by the distribution of credit ratings in the sub-portfolio. The results of empirical analyses indicate that the model is to some extent consistent with downgrade data of Japanese firms in a sample period.

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

  Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd

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