JSIAM Letters
Online ISSN : 1883-0617
Print ISSN : 1883-0609
ISSN-L : 1883-0617
Articles
A random thinning model with a latent factor for improvement of top-down credit risk assessment
Suguru YamanakaHidetoshi NakagawaMasaaki Sugihara
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2016 Volume 8 Pages 37-40

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Abstract

We introduce a credit portfolio risk model within the ``top-down approach'' and then demonstrate applicability of our model to practical credit risk management via some empirical studies using some historical data on down-grades of Japanese firms. Specifically we present a simple random thinning model with some latent factor so as to explain the fact that downgrades are observed in some sub-portfolio much more or much less than expected naively.

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© 2016, The Japan Society for Industrial and Applied Mathematics
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