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This study considers the Merton model with temporal correlation. We show the Merton model becomes Poisson process with the log-normal distributed intensity function in the limit. We discuss the relation between this model and Hawkes process. In this model we confirm the super-normal transition when the temporal correlation is power case. The phase transition is same as seen before the limit. We apply this model to the default portfolios and find that the power decay model provides better generalization performance for the long term data.

生成讲解博客的中文版本

生成AI智能校验的中文版本