Is the Hawkes graph approach applicable for examining the bankruptcy risk dependence structure? An empirical analysis of firms' bankruptcies in Japan

Abstract

We examine the types of bankruptcy risk dependence structures of Japanese firms by using a multidimensional Hawkes process. For this purpose, we concentrate on a new approach called the Hawkes graph introduced by Embrechts and... [ view full abstract ]

Authors

  1. Hidetoshi Nakagawa (Hitotsubashi University)
  2. Teruo Kemmotsu (Hitotsubashi University (graduated))

Topic Areas

Credit Risk , Credit Jump Models , Risk Management

Session

FR-A-DA » Credit Risk 3 (10:00 - Friday, 20th July, Davis)

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