Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework

DOI10.1007/S13160-016-0216-XzbMath1349.91297OpenAlexW2395821925MaRDI QIDQ346621

Hidetoshi Nakagawa, Suguru Yamanaka, Masaaki Sugihara

Publication date: 29 November 2016

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-016-0216-x

zbMATH Keywords

credit riskrandom thinningcredit event intensitytop-down approach

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Modeling of contagious credit events and risk analysis of credit portfolios
• Modeling of contagious downgrades and its application to multi-downgrade protection
• Analysis of downgrade risk in credit portfolios with self-exciting intensity model
• Risk Analysis of Collateralized Debt Obligations
• Affine Point Processes and Portfolio Credit Risk
• A Top-Down Approach to Multiname Credit
• Credit Risk Modeling

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