National Center for Sciences
2-1-2 Hitotsubashi,
Chiyoda-ku,, 1018439
Japan
Hitotsubashi University Business School
Surrender risk, default risk, interest rate risk, Cox process, participating policies
surrender risk, default risk, interest rate risk, Cox process, participating policies
Hawkes process, Hawkes graph, bankruptcy risk dependence, bankruptcies in Japan
Credit risk, credit rating transition, nonlinear filtering, branching particle filter
credit risk, default risk, structural model, stopping time, random time, information delay
downgrade risk, mutually exciting intensity model, downgrade protection
mortgage-backed securities (MBS), prepayment cost, loan pool risk, structural approach with incomplete information, asymptotic arbitrage-free condition