Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests

DOI10.1007/S10690-021-09336-6MaRDI QIDQ2166070zbMATH OpenOpenAlexFDO

Authors Teruo Kemmotsu

Publication date 23 August 2022

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-021-09336-6

zbMATH Keywords

credit riskINAR modelmultidimensional Hawkes process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Recommendations

• Dynamic analysis of the forecasting bankruptcy under presence of unobserved heterogeneity
• Modeling the dependence of corporate default
• Bankruptcy prediction using terminal failure processes
• Structural credit risk modelling with Hawkes jump diffusion processes
• On infectious model for dependent defaults

Cites work

• Affine point processes and portfolio credit risk
• An estimation procedure for the Hawkes process
• Hawkes graphs
• Modeling of contagious credit events and risk analysis of credit portfolios
• On Lewis' simulation method for point processes
• Spectra of some self-exciting and mutually exciting point processes
• Time series analysis: Methods and applications

Cited in

(1)

• Relationship between managerial sentiments and corporate bankruptcies

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