A statistical modeling methodology for the analysis of term structure of credit risk and its dependency

Jiashen You, Tomohiro Ando

研究成果: Article査読

5 被引用数 (Scopus)

抄録

This paper presents a statistical modeling methodology for simultaneous estimation of the term structure for the risk-free interest rate, hazard rate, loss given default as well as credit risk dependency structure between bond-issuing industries. Amodel like this provides a realistic view for the market anticipation of credit risk for corporate bonds and the flexibility in capturing credit risk dependency between industries. Our statistical modeling procedure is carried out without specifying the model likelihood explicitly, and thus robust to the model mis-specification. An empirical analysis is conducted using the financial infor- mation on the Japanese bond market data. Numerical results confirm the practicality of the proposed methodology.

本文言語English
ページ(範囲)4897-4905
ページ数9
ジャーナルExpert Systems With Applications
40
12
DOI
出版ステータスPublished - 2013

ASJC Scopus subject areas

  • 工学一般
  • コンピュータ サイエンスの応用
  • 人工知能

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