基于滤子理论的信用风险传染模型

发布时间：2018-06-12 20:23

  本文选题：滤子理论 + 信用风险传染模型　； 参考：《系统工程》2012年12期

【摘要】：金融市场信用风险的传染和蔓延,直接影响金融市场的健康稳定发展;建立信用风险传染模型,把握信用风险传染规律,有利于实现对金融市场的有效监管。基于现有针对信用风险传染的研究成果,利用滤子理论,构建了具有信用违约序列特征和信用违约时间概率密度及其分布函数结构的信用风险传染模型,由此得到公司条件生存概率分布函数;在此基础上,通过引入一个二维Gumbel Copula函数,对公司条件生存概率分布的影响因素进行仿真实验及对比分析。研究结果表明:信用违约的相关性、序列性以及信用违约强度都对信用风险的传染效应和公司的条件生存概率影响显著。
[Abstract]:The contagion and spread of credit risk in financial market directly affect the healthy and stable development of financial market, and establish credit risk contagion model and grasp the law of credit risk contagion, which is beneficial to the effective supervision of financial market. Based on the existing research results on credit risk contagion and using filter theory, a credit risk contagion model with the characteristics of credit default sequence, time probability density of credit default and its distribution function structure is constructed. On the basis of this, a two-dimensional Gumbel Copula function is introduced to simulate and analyze the influencing factors of the survival probability distribution of company conditions. The results show that the correlation, sequence and intensity of credit default have a significant impact on the contagion effect of credit risk and the survival probability of the company.
【作者单位】： 东南大学经济管理学院;中国建设银行江苏省分行;
【基金】：国家自然科学基金资助项目(71071034) 国家重点基础研究发展计划(973计划)项目(2010CB328104-02)
【分类号】：F830.9;F224
，

本文编号：2010946