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Multi-dimensional Self-Exciting NBD Process and Default Portfolios

Author

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  • Masato Hisakado

    (Nomura Holdings, Inc.)

  • Kodai Hattori

    (Hirosaki University)

  • Shintaro Mori

    (Hirosaki University)

Abstract

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 process with a gamma-distributed intensity function. We extend the SE-NBD process to a multidimensional process. Using the multidimensional SE-NBD process (MD-SE-NBD), we can estimate interactions between these 13 sectors as a network. By applying impact analysis, we can classify upstream and downstream sectors. The upstream sectors are real-estate and financial institution (FI) sectors. From these upstream sectors, shock spreads to the downstream sectors. This is an amplifier of the shock. This is consistent with the analysis of bubble bursts. We compare these results to the multidimensional Hawkes process (MD-Hawkes) that has a zero-variance intensity function.

Suggested Citation

  • Masato Hisakado & Kodai Hattori & Shintaro Mori, 2022. "Multi-dimensional Self-Exciting NBD Process and Default Portfolios," The Review of Socionetwork Strategies, Springer, vol. 16(2), pages 493-512, October.
    • Handle: RePEc:spr:trosos:v:16:y:2022:i:2:d:10.1007_s12626-022-00122-y
    DOI: 10.1007/s12626-022-00122-y
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    References listed on IDEAS

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    1. S. Mori & K. Kitsukawa & M. Hisakado, 2006. "Correlation Structures of Correlated Binomial Models and Implied Default Distribution," Papers physics/0609093, arXiv.org, revised Sep 2008.
    2. P. Blanc & J. Donier & J.-P. Bouchaud, 2017. "Quadratic Hawkes processes for financial prices," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 171-188, February.
    3. Hisakado, Masato & Mori, Shintaro, 2020. "Phase transition in the Bayesian estimation of the default portfolio," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 544(C).
    4. Matthias Kirchner, 2017. "An estimation procedure for the Hawkes process," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 571-595, April.
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    Cited by:

    1. Takayuki Mizuno & Takaaki Ohnishi & Ryohei Hisano & Hiroshi Iyetomi & Tsutomu Watanabe, 2022. "Preface of Special Issue on Data Science Questing for a Better Society," The Review of Socionetwork Strategies, Springer, vol. 16(2), pages 333-335, October.

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    Keywords

    Hawkes process; Hawkes graph;

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