Copula方法与相依违约研究

目前信用风险研究的重点已经从单笔债务的违约概率研究转移到多笔债务的相依违约(Dependent Defaults)研究。Copula方法是研究相依违约的重要方法。这种方法是最近几年才被应用到信用领域研究中的一种新方法。本结合代表性献对Copula方法在相依违约研究中的应用进行了探讨。探讨的内容包括Copula方法被应用于相依违约研究的原因、该方法对于相依违约建模理论的改进以及在实证应用中使用Copula方法应该注意的问题。

Copula Approach and Dependent Default Research

At present, the emphasis of credit risk research has shifted from the default of a single debtor to the dependent defaults of multi-debtors. Copula approach is important for the research of dependent defaults. The application of this approach has been to credit risk research for only a few years. We use some representative literatures to discuss the application of Copula approach in the research of dependent defaults. The discussion includes why and how Copula approach is applied to the research of dependent defaults and what should be paid attention to when using this approach.