Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests

DOI10.1007/S10690-021-09336-6zbMath1495.91127OpenAlexW3155865415MaRDI QIDQ2166070

Teruo Kemmotsu

Publication date: 23 August 2022

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-021-09336-6

zbMATH Keywords

credit riskINAR modelmultidimensional Hawkes process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Cites Work

• Time series analysis: Methods and applications
• Modeling of contagious credit events and risk analysis of credit portfolios
• Affine Point Processes and Portfolio Credit Risk
• On Lewis' simulation method for point processes
• An estimation procedure for the Hawkes process
• Hawkes Graphs
• Spectra of some self-exciting and mutually exciting point processes

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