论文标题
多维自激发NBD过程和默认投资组合
Multi-Dimensional self-exciting NBD process and Default portfolios
论文作者
论文摘要
在这项研究中，我们将多维自激发负二项式分布（SE-NBD）过程应用于具有13个扇区的默认投资组合。 SE-NBD过程是具有伽马分布强度函数的泊松过程。我们将SE-NBD过程扩展到多维过程。使用多维SE-NBD过程（MD-SE-NBD），我们可以估计这13个扇区之间的相互作用作为网络。通过应用影响分析，我们可以对上游和下游部门进行分类。上游部门是房地产和金融机构（FI）部门。从这些上游部门开始，冲击传播到下游部门。这是冲击的放大器。这与对气泡爆发的分析一致。我们将这些结果与具有零变化强度函数的多维鹰队过程（MD-HAWKES）进行了比较。
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.
