JSIAM Letters
Online ISSN : 1883-0617
Print ISSN : 1883-0609
ISSN-L : 1883-0617
Articles
Analysis of credit event impact with self-exciting intensity model
Suguru YamanakaMasaaki SugiharaHidetoshi Nakagawa
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2011 Volume 3 Pages 49-52

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Abstract

The aim of this article is to examine self-exciting effect and/or mutually exciting effect on rating migrations. First, we examine with self-exciting/mutually exciting intensity models whether such effect can be observed for rating migrations in Japanese enterprises. Second, we analyze which explanatory variable is more significant to the jump of the intensity via model selection with Akaike information criterion (AIC).

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© 2011 The Japan Society for Industrial and Applied Mathematics
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