Multi-dimensional Self-Exciting NBD Process and Default Portfolios

Masato Hisakado (), Kodai Hattori and Shintaro Mori
Additional contact information
Masato Hisakado: Nomura Holdings, Inc.
Kodai Hattori: Hirosaki University
Shintaro Mori: Hirosaki University

The Review of Socionetwork Strategies, 2022, vol. 16, issue 2, 493-512

Abstract: 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.

Keywords: Hawkes process; Hawkes graph (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s12626-022-00122-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:trosos:v:16:y:2022:i:2:d:10.1007_s12626-022-00122-y

Ordering information: This journal article can be ordered from
https://www.springer ... ystems/journal/12626

DOI: 10.1007/s12626-022-00122-y

Access Statistics for this article

The Review of Socionetwork Strategies is currently edited by Katsutoshi Yada, Yasuharu Ukai and Marshall Van Alstyne

More articles in The Review of Socionetwork Strategies from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().