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Analysis of credit event impact with self-exciting intensity model

Authors :
Hidetoshi Nakagawa
Suguru Yamanaka
Masaaki Sugihara
Source :
JSIAM Letters. 3:49-52
Publication Year :
2011
Publisher :
The Japan Society for Industrial and Applied Mathematics, 2011.

Subjects

Subjects :
Credit rating
Actuarial science
Credit event
Economics
Intensity (physics)

Details

ISSN :
18830617 and 18830609
Volume :
3
Database :
OpenAIRE
Journal :
JSIAM Letters
Accession number :
edsair.doi...........9480d56aa23e4c273cbd0b01368c5ce2
Full Text :
https://doi.org/10.14495/jsiaml.3.49
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