基于藤结构Copula的多元信用风险相关性度量模型及其比较
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引用本文:罗长青, 欧阳资生.基于藤结构Copula的多元信用风险相关性度量模型及其比较[J].财经理论与实践,2012,(6):13-16
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作者单位
罗长青, 欧阳资生 (1. 湖南商学院 财政金融学院, 湖南 长沙410082
2. 湖南大学 工商管理学院, 湖南 长沙410082) 
中文摘要:在信贷组合管理的框架下,以行业信用风险为基础,构建了基于藤结构Copula的多元信用风险相关性度量模型,并以2006年6月~2010年12月中国上市公司数据对模型进行了参数估计,发现Canonical藤结构更适合度量行业信用风险相关性,以电力煤气及水的生产为代表的强周期性行业对信用风险起着引导作用。
中文关键词:藤结构Copula  信用风险相关性  多元Copula
 
Multivariate Credit Risk Correlation Modelling and the Comparison based on Pair Copulas
Abstract:Credit risk is easy to contagion nowadays, thus credit portfolio management has gradually become credit risk management as an important trend. Under the framework of credit portfolio management, in this paper the pair copula is constructed to evaluate the credit risk correlation based on the industrial credit risk, meanwhile, the parameters of the pair copula models are estimated by using the data of Chinese listed companies from June 2006 to December 2010. The results show that the Canonical pair copula is more suitable to describe the credit risk correlation, and the utilities industry has the guiding role for credit risk in credit portfolio.
keywords:Pair Copula  Credit risk correlation  Multivariate Copula
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