Analysis of downgrade risk in credit portfolios with self-exciting intensity model.
Suguru YamanakaMasaaki SugiharaHidetoshi NakagawaPublished in: JSIAM Lett. (2011)
Keyphrases
- probabilistic model
- computational model
- high level
- risk assessment
- image sequences
- risk analysis
- formal model
- statistical model
- theoretical analysis
- statistical analysis
- credit risk
- conceptual model
- theoretical framework
- neural network
- management system
- probability distribution
- cost function
- image analysis
- image segmentation