2012年3月
Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios (共著)
Asia-Pacific Financial Markets
- ,
- ,
- 巻
- 19
- 号
- 1
- 開始ページ
- 43
- 終了ページ
- 62
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1007/s10690-011-9141-9
We present a new model of the occurence of credit events such as rating changes and defaults for risk analyses of some portfolio credit derivatives. The framework of our model is based on a so-called top-down approach. Specifically, we first consider modeling the point process of each type of credit event in the whole economy using a self-exciting intensity process. Next, we characterize the point processes of credit events in the underlying sub-portfolio using random thinning processes specified by the distribution of credit ratings in the sub-portfolio. One of the main features of our model is that the model can capture credit risk contagion simultaneously among several credit portfolios. We present a credit event simulation algorithm based on our model and illustrate an application of the model to risk analyses of loan portfolios.
- リンク情報
- ID情報
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- DOI : 10.1007/s10690-011-9141-9
- ISSN : 1387-2834
- SCOPUS ID : 84856949652