3 papers
q-fin.ST2026
Temporal Coarse-Graining of Latent Default-Probability Paths Generates Effective Default Correlation
Shintaro Mori
We show that persistent dynamics of a latent default-probability path can generate effective default correlation through temporal coarse-graining. In the OU--Binomial baseline, mon…
q-fin.RM2026
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…
q-fin.RM2026
Identifiability of Contagion Components amid Environmental Fluctuations in Aggregated Default Counts
Shintaro Mori
Can contagion components be identified in aggregated default counts when default probabilities fluctuate with the economic environment? We study this question as an identifiability…