Multi-dimensional Self-Exciting NBD Process and Default Portfolios

被引：2

作者：

Hisakado, Masato ^{[1
]}

Hattori, Kodai ^{[2
]}

Mori, Shintaro ^{[2
]}

机构：

[1] Nomura Holdings Inc, Chiyoda Ku, Otemachi 2-2-2, Tokyo 1008130, Japan

[2] Hirosaki Univ, Grad Sch Sci & Technol, Dept Math & Phys, Bunkyo Cho 3, Hirosaki, Aomori 0368561, Japan

来源：

REVIEW OF SOCIONETWORK STRATEGIES | 2022年 / 16卷 / 02期

关键词：

Hawkes process; Hawkes graph;

D O I：

10.1007/s12626-022-00122-y

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this study, we apply a multidimensional self-exciting negative binomial distribution (SE-NBD) process to default portfolios with 13 sectors. The SE-NBD process is a Poisson process with a gamma-distributed intensity function. We extend the SE-NBD process to a multidimensional process. Using the multidimensional SE-NBD process (MD-SE-NBD), we can estimate interactions between these 13 sectors as a network. By applying impact analysis, we can classify upstream and downstream sectors. The upstream sectors are real-estate and financial institution (FI) sectors. From these upstream sectors, shock spreads to the downstream sectors. This is an amplifier of the shock. This is consistent with the analysis of bubble bursts. We compare these results to the multidimensional Hawkes process (MD-Hawkes) that has a zero-variance intensity function.

引用

页码：493 / 512

页数：20

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