{"_buckets": {"deposit": "65b7f099-6528-40c5-aa53-c3841c516f1d"}, "_deposit": {"id": "24972", "owners": [], "pid": {"revision_id": 0, "type": "depid", "value": "24972"}, "status": "published"}, "_oai": {"id": "oai:tsukuba.repo.nii.ac.jp:00024972"}, "item_5_biblio_info_6": {"attribute_name": "\u66f8\u8a8c\u60c5\u5831", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2011-10", "bibliographicIssueDateType": "Issued"}, "bibliographicIssueNumber": "2", "bibliographicPageEnd": "379", "bibliographicPageStart": "365", "bibliographicVolumeNumber": "214", "bibliographic_titles": [{"bibliographic_title": "European journal of operational research"}]}]}, "item_5_creator_3": {"attribute_name": "\u8457\u8005\u5225\u540d", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "\u4f4f\u7530, \u6f6e"}], "nameIdentifiers": [{"nameIdentifier": "87061", "nameIdentifierScheme": "WEKO"}]}]}, "item_5_description_4": {"attribute_name": "\u6284\u9332", "attribute_value_mlt": [{"subitem_description": "We consider a credit risk model with two industrial sectors, where defaults of corporations would be influenced by two factors. The first factor represents the macro economic condition which would affect the default intensities of the two industrial sectors differently. The second factor reflects the influences of the past defaults of corporations against other active corporations, where such influences would affect the two industrial sectors differently. A two-layer Markov chain model is developed, where the macro economic condition is described as a birth\u2013death process, while another Markov chain represents the stochastic characteristics of defaults with default intensities dependent on the state of the birth\u2013death process and the number of defaults in two sectors. Although the state space of the two-layer Markov chain is huge, the fundamental absorbing process with a reasonable state space size could capture the first passage time structure of the two-layer Markov chain, thereby enabling one to evaluate the joint probability of the number of defaults in two sectors via the uniformization procedure of Keilson. This in turn enables one to value a variety of derivatives defined on the underlying credit portfolios. In this paper, we focus on a financial product called CDO, and a related option.", "subitem_description_type": "Abstract"}]}, "item_5_identifier_34": {"attribute_name": "URI", "attribute_value_mlt": [{"subitem_identifier_type": "HDL", "subitem_identifier_uri": "http://hdl.handle.net/2241/113794"}]}, "item_5_publisher_27": {"attribute_name": "\u51fa\u7248\u8005", "attribute_value_mlt": [{"subitem_publisher": "Elsevier B.V."}]}, "item_5_relation_11": {"attribute_name": "DOI", "attribute_value_mlt": [{"subitem_relation_type_id": {"subitem_relation_type_id_text": "10.1016/j.ejor.2011.05.001", "subitem_relation_type_select": "DOI"}}]}, "item_5_rights_12": {"attribute_name": "\u6a29\u5229", "attribute_value_mlt": [{"subitem_rights": "\u00a9 2011 Elsevier B.V.\nNOTICE: this is the author\u0027s version of a work that was accepted for publication in European Journal of Operational Research. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, Vol.214(2), 2011 DOI:10.1016/j.ejor.2011.05.001"}]}, "item_5_select_15": {"attribute_name": "\u8457\u8005\u7248\u30d5\u30e9\u30b0", "attribute_value_mlt": [{"subitem_select_item": "author"}]}, "item_5_source_id_7": {"attribute_name": "ISSN", "attribute_value_mlt": [{"subitem_source_identifier": "0377-2217", "subitem_source_identifier_type": "ISSN"}]}, "item_5_source_id_9": {"attribute_name": "\u66f8\u8a8c\u30ec\u30b3\u30fc\u30c9ID", "attribute_value_mlt": [{"subitem_source_identifier": "AA0017802X", "subitem_source_identifier_type": "NCID"}]}, "item_5_subject_20": {"attribute_name": "NII\u30b5\u30d6\u30b8\u30a7\u30af\u30c8", "attribute_value_mlt": [{"subitem_subject": "\u793e\u4f1a\u79d1\u5b66", "subitem_subject_scheme": "Other"}]}, "item_creator": {"attribute_name": "\u8457\u8005", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "Takada, Hideyuki"}], "nameIdentifiers": [{"nameIdentifier": "87059", "nameIdentifierScheme": "WEKO"}]}, {"creatorNames": [{"creatorName": "Sumita, Ushio"}], "nameIdentifiers": [{"nameIdentifier": "87060", "nameIdentifierScheme": "WEKO"}]}]}, "item_files": {"attribute_name": "\u30d5\u30a1\u30a4\u30eb\u60c5\u5831", "attribute_type": "file", "attribute_value_mlt": [{"accessrole": "open_date", "date": [{"dateType": "Available", "dateValue": "2013-12-25"}], "displaytype": "detail", "download_preview_message": "", "file_order": 0, "filename": "EJOR_214-2.pdf", "filesize": [{"value": "347.3 kB"}], "format": "application/pdf", "future_date_message": "", "is_thumbnail": false, "licensetype": "license_free", "mimetype": "application/pdf", "size": 347300.0, "url": {"label": "EJOR_214-2.pdf", "url": "https://tsukuba.repo.nii.ac.jp/record/24972/files/EJOR_214-2.pdf"}, "version_id": "455edc71-3017-4809-8986-26da46a2c7b5"}]}, "item_language": {"attribute_name": "\u8a00\u8a9e", "attribute_value_mlt": [{"subitem_language": "eng"}]}, "item_resource_type": {"attribute_name": "\u8cc7\u6e90\u30bf\u30a4\u30d7", "attribute_value_mlt": [{"resourcetype": "journal article", "resourceuri": "http://purl.org/coar/resource_type/c_6501"}]}, "item_title": "Credit risk model with contagious default dependencies affected by macro-economic condition", "item_titles": {"attribute_name": "\u30bf\u30a4\u30c8\u30eb", "attribute_value_mlt": [{"subitem_title": "Credit risk model with contagious default dependencies affected by macro-economic condition"}]}, "item_type_id": "5", "owner": "1", "path": ["152/1223", "3/62/5587/1603"], "permalink_uri": "http://hdl.handle.net/2241/113794", "pubdate": {"attribute_name": "\u516c\u958b\u65e5", "attribute_value": "2011-08-26"}, "publish_date": "2011-08-26", "publish_status": "0", "recid": "24972", "relation": {}, "relation_version_is_last": true, "title": ["Credit risk model with contagious default dependencies affected by macro-economic condition"], "weko_shared_id": null}