| 信用传染违约Aalen加性风险模型 |
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| 引用本文： | 田军,周勇.信用传染违约Aalen加性风险模型[J].应用数学学报,2012,35(3):408-420. |
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| 作者姓名： | 田军 周勇 |
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| 作者单位： | 1. 中国科学院数学与系统科学研究院应用数学研究所,北京,100190
2. 中国科学院数学与系统科学研究院应用数学研究所,北京100190;上海财经大学统计与管理学院,上海200433 |
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| 基金项目： | 国家自然科学基金，国家自然科学基金委创新研究群体科学基金，上海财经大学“211工程”三期重点学科建设项目和上海市重点学科建设 |
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| 摘 要： | 本文考虑了基于加性风险模型的信用风险违约预报模型,不但考虑了宏观因素和公司个体因素,并且通过引入行业因素来刻画公司间可能存在的不同于宏观因素的信用传染效应,由此克服了以往模型对违约相关性的低估.本文在参数加性风险模型下给出极大似然估计及渐近性,提出两种估计方法并比较二者表现,得到最优权估计更加有效.同时本文还考虑了半参数的风险模型,并基于鞅的估计方程得到其估计及渐近性,均得到不错的结果.
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| 关 键 词： | 加性模型 违约风险 信用传染 约化模型 |
Credit Contagion Default Aalen Additive Hazard Model |
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| TIAN JUN
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ZHOU YONG.Credit Contagion Default Aalen Additive Hazard Model[J].Acta Mathematicae Applicatae Sinica,2012,35(3):408-420. |
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| Authors: | TIAN JUN ZHOU YONG |
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| Institution: | (Academy of Mathematics and System Sciences,Chinese Academy of Sciences,Beijing 100190) (School of Statistics and Management,Shanghai University of Finance and Economics,Shanghai 200433) |
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| Abstract: | In this paper we consider the credit risk default models based on additive hazard model.Not only do we incorporate the macroeconomic and firm-specific conditions, but also by introducing industry-specific covariates we characterize the credit contagion between industries.In this way,we overcome underestimating by models before.We provide maximum likelihood estimators and their asymptotic properties for the parametric additive hazard model.Two estimating methods are considered,and then we get that optimal weight estimate is more effective.This paper also consider the semi-parametric additive hazard model,under this model we provide estimators and their asymptotic properties based on estimating equations of martingale.Finally we get good results through simulation. |
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| Keywords: | additive hazard model default risk credit contagion reduced model |
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