64 citations · 452 across the 47 of their papers we have counts for
4 papers · 1 filter
Temporal Coarse-Graining of Multi-Sector Default Count Data Generates Posterior-Implied Copulas
Shintaro Mori, Masato Hisakado
Sectoral default dependence is usually described by a static correlation matrix, a static copula, or a small number of common factors. Such representations, when specified separate…
Phase transition in a long-memory log-Gaussian Cox process
Masato Hisakado, Shintaro Mori
We study a stochastic point process with power-law temporal correlations driven by hidden variables. We show that a generalized Merton-type model under an exponential-tail asset as…
Multi-Dimensional self-exciting NBD process and Default portfolios
Masato Hisakado, Kodai Hattori, Shintaro Mori
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 proc…
Parameter estimation of default portfolios using the Merton model and Phase transition
Masato Hisakado, Shintaro Mori
We discuss the parameter estimation of the probability of default (PD), the correlation between the obligors, and a phase transition. In our previous work, we studied the problem u…