64 citations · 452 across the 47 of their papers we have counts for
Showing 2006Show all
3 papers · 1 filter
physics.data-an2006★ 10 cited
Infectious Default Model with Recovery and Continuous Limit
Ayaka Sakata, Masato Hisakado, Shintaro Mori
We introduce an infectious default and recovery model for N obligors. Obligors are assumed to be exchangeable and their states are described by N Bernoulli random variables S_{i} (…
physics.soc-ph2006★ 9 cited
Correlation Structures of Correlated Binomial Models and Implied Default Distribution
S. Mori, K. Kitsukawa, M. Hisakado
We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables. We stud…
physics.data-an2006★ 64 cited
Correlated Binomial Models and Correlation Structures
M. Hisakado, K. Kitsukawa, S. Mori
We discuss a general method to construct correlated binomial distributions by imposing several consistent relations on the joint probability function. We obtain self-consistency re…