- 著者
- Suguru Yamanaka Masaaki Sugihara Hidetoshi Nakagawa
- 出版者
- The Japan Society for Industrial and Applied Mathematics
- 雑誌
- JSIAM Letters (ISSN:18830609)
- 巻号頁・発行日
- vol.3, pp.93-96, 2011 (Released:2011-12-24)
- 参考文献数
- 6
- 被引用文献数
- 2 2
We present an intensity based credit rating migration model and execute empirical analyses on forecasting the number of downgrades in some credit portfolios. The framework of the model is based on so-called top-down approach. We firstly model economy-wide rating migration intensity with a self-exciting stochastic process. Next, we characterize the downgrade intensity for the underlying sub-portfolio with some thinning model specified by the distribution of credit ratings in the sub-portfolio. The results of empirical analyses indicate that the model is to some extent consistent with downgrade data of Japanese firms in a sample period.