Modeling of contagious credit events and risk analysis of credit portfolios

DOI10.1007/S10690-011-9141-9zbMath1243.91102OpenAlexW2031095948MaRDI QIDQ431916

Suguru Yamanaka, Masaaki Sugihara, Hidetoshi Nakagawa

Publication date: 3 July 2012

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

Full work available at URL: https://doi.org/10.1007/s10690-011-9141-9

zbMATH Keywords

credit risktop-down approachrating changeself-exciting intensity modelstate-dependent

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites Work

• Modeling of contagious downgrades and its application to multi-downgrade protection
• Risk Analysis of Collateralized Debt Obligations
• A Top-Down Approach to Multiname Credit
• On Lewis' simulation method for point processes

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