Transactions of the Japan Society for Industrial and Applied Mathematics
Online ISSN : 2424-0982
ISSN-L : 0917-2246
Analyses of Records of Credit Rating Transition with Mutually Exciting Rating-change Intensity Model(Application)
Hidetoshi Nakagawa
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2010 Volume 20 Issue 3 Pages 183-202

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Abstract
This paper presents a new modeling of occurrence intensities for several types of event with multivariate affine jump processes. We actually try the maximum likelihood estimation for a specific model that classifies enterprises into three categories with some historical record of downgrades and upgrades for the Japanese enterprises, so that we can examine whether some self-exciting effects and mutually exciting effects of downgrades or upgrades are observed among the three categories.
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© 2010 The Japan Society for Industrial and Applied Mathematics
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