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

DOI10.14495/JSIAML.3.93zbMath1271.91110OpenAlexW2071062562MaRDI QIDQ2843194

Suguru Yamanaka, Masaaki Sugihara, 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=3_0_93&screenID=AF06S010&noVol=3&noIssue=0

zbMATH Keywords

credit risktop-down approachrating migrationself-exciting intensity

Mathematics Subject Classification ID

Credit risk (91G40)

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