Modeling of contagious downgrades and its application to multi-downgrade protection

DOI10.14495/JSIAML.2.65zbMath1271.91109OpenAlexW2031624620MaRDI QIDQ2843135

Hidetoshi Nakagawa

Publication date: 9 August 2013

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=2_0_65&screenID=AF06S010&noVol=2&noIssue=0

zbMATH Keywords

downgrade protectioncredit derivativedowngrade riskmutually exciting intensity model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Credit risk (91G40)

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Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework ⋮ Modeling of contagious credit events and risk analysis of credit portfolios

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