64 citations · 371 across the 37 of their papers we have counts for
Showing q-fin.RMShow all
3 papers · 1 filter
q-fin.RM2025
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…
q-fin.RM2022★ 2 cited
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…
q-fin.RM2020★ 6 cited
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…