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Multi-Dimensional self-exciting NBD process and Default portfolios

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  • Masato Hisakado
  • Kodai Hattori
  • Shintaro Mori

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," Papers 2205.14146, arXiv.org, revised Sep 2022.
    • Handle: RePEc:arx:papers:2205.14146
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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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