Modeling of contagious downgrades and its application to multi-downgrade protection

• Nakagawa Hidetoshi

  Graduate School of International Corporate Strategy, Hitotsubashi University

抄録

In this paper, we use a multivariate affine jump process to model the downgrade intensities for several categories of business sector in credit portfolios. Since multivariate affine jump structure enables us to consider self-exciting effects as well as mutually exciting effects, the model can explain the downgrade clusters observed in the Japanese market. Also, we propose a new credit derivative named multi-downgrade protection (MDP) as an application of our model and discuss its fair pricing.

収録刊行物

• JSIAM Letters

  JSIAM Letters 2 (0), 65-68, 2010

  一般社団法人 日本応用数理学会

キーワード

• downgrade risk
• mutually exciting intensity model
• downgrade protection

詳細情報

• CRID: 1390001205301185408
• NII論文ID: 130000303922
• DOI: 10.14495/jsiaml.2.65
• ISSN: 18830617
• ISSN: 18830609
• HANDLE: 10086/23063
• Web Site: https://www.jstage.jst.go.jp/article/jsiaml/2/0/2_0_65/_pdf
• 本文言語コード: en
• データソース種別:
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• 抄録ライセンスフラグ: 使用不可