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Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios

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  • Suguru Yamanaka
  • Masaaki Sugihara
  • Hidetoshi Nakagawa

Abstract

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  • Suguru Yamanaka & Masaaki Sugihara & Hidetoshi Nakagawa, 2012. "Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(1), pages 43-62, March.
    • Handle: RePEc:kap:apfinm:v:19:y:2012:i:1:p:43-62
    DOI: 10.1007/s10690-011-9141-9
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    References listed on IDEAS

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    1. Kay Giesecke & Baeho Kim, 2011. "Risk Analysis of Collateralized Debt Obligations," Operations Research, INFORMS, vol. 59(1), pages 32-49, February.
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    Cited by:

    1. Akio Hattori & Kentaro Kikuchi & Fuminori Niwa & Yoshihiko Uchida, 2014. "A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market," IMES Discussion Paper Series 14-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    2. Suguru Yamanaka, 2019. "Random thinning model with a truncated credit quality vulnerability factor: Application to top-down-type credit risk assessment," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-13, September.

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