Multi-dimensional Self-Exciting NBD Process and Default Portfolios
Multi-dimensional Self-Exciting NBD Process and Default Portfolios
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多维自激 NBD 流程和默认投资组合
DOI：
10.1007/s12626-022-00122-y
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发表时间：
2022
期刊：
影响因子：
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通讯作者：
Mori Shintaro
中科院分区：
文献类型：
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作者：
Hisakado Masato;Hattori Kodai;Mori Shintaro
在这项研究中，我们应用一个多维自激负二项分布（SE-NBD）过程的违约投资组合的13个部门。SE-NBD过程是一个强度函数为伽玛分布的泊松过程。我们将SE-NBD过程扩展为多维过程。使用多维SE-NBD过程（MD-SE-NBD），我们可以估计这13个部门之间的相互作用作为一个网络。通过应用影响分析，我们可以对上游和下游部门进行分类。上游部门是房地产和金融机构部门。从这些上游部门，冲击蔓延到下游部门。这是一个冲击的放大器。这与泡沫破裂的分析是一致的。我们将这些结果与具有零方差强度函数的多维Hawkes过程（MD-Hawkes）进行比较。
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.