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Identifier to cite or link to this item: https://hdl.handle.net/10086/23063

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Title
Modeling of contagious downgrades and its application to multi-downgrade protection
Creator
Creator Name
NAKAGAWA, Hidetoshi NAKAGAWA, Hidetoshi
中川, 秀敏 中川, 秀敏
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
downgrade risk
mutually exciting intensity model
downgrade protection
Abstract
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.
Publisher
日本応用数理学会
Issued Date
2010-04
Language
English(eng)
Resource Type
journal article
Version Type
VoR
ISSN
1883-0617
Source Title
JSIAM Letters
Volume Number
2
Page Start
65
Page End
68
Appears in Collections
010a Journal Articles　=　雑誌掲載論文
URL
https://hdl.handle.net/10086/23063