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

Authors :
Masaaki Sugihara
Hidetoshi Nakagawa
Suguru Yamanaka
Source :
JSIAM Letters. 3:93-96
Publication Year :
2011
Publisher :
The Japan Society for Industrial and Applied Mathematics, 2011.

Subjects

Subjects :
Finance
business.industry
Economics
Monetary economics
Downgrade
Credit valuation adjustment
business
Intensity (heat transfer)
Credit risk

Details

ISSN :
18830617 and 18830609
Volume :
3
Database :
OpenAIRE
Journal :
JSIAM Letters
Accession number :
edsair.doi...........87d1e4594cac4fe99fc93c08e4eb1291
Full Text :
https://doi.org/10.14495/jsiaml.3.93
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