| Copula理论在信用风险研究中的应用 |
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| 引用本文： | 梁歌春,任学敏. Copula理论在信用风险研究中的应用[J]. 应用概率统计, 2011, 0(4): 369-379 |
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| 作者姓名： | 梁歌春 任学敏 |
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| 作者单位： | 同济大学数学系风险管理研究所; |
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| 基金项目： | 国家重点基础研究发展计划(973计划)(2007CB814903); 国家自然科学基金(10471106)资助 |
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| 摘 要： | 信用风险研究足近些年来金融数学中的一个崭新的研究方向.本文主要研究了组合信用风险中的常用方法:违约相关性的Copula方法.本文建立了Copula方法与违约相关性研究中的结构化方法和约化方法的联系.此外对于单个公司的生存概率的研究,本文给出了不同于Lando (1998)的求解和证明方法,而这种方法不需要在现在就知道将...
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| 关 键 词： | 信用风险 违约相关性 生存概率 Copula |
Applications of Copula Theory in Credit Risk |
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| Liang Gechun Ren Xuemin. Applications of Copula Theory in Credit Risk[J]. Chinese Journal of Applied Probability and Statisties, 2011, 0(4): 369-379 |
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| Authors: | Liang Gechun Ren Xuemin |
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| Affiliation: | Liang Gechun Ren Xuemin (Tongji University Department of Mathematics Institute of Risk Management,Shanghai,200092) |
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| Abstract: | Credit risk theory has become one of the cutting edges in modern finance over the past few years.We investigate into one of the important issues amongst portfolio's credit risk:Copula's applications in correlated default.We discover the relationship amongst Copula and other tools for the correlated default,such as structural models and reduced form models.Additionally,different from Lando (1998),we present another method and proof for the calculation of default probability of the single firm. |
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| Keywords: | Credit risk correlated default survival probability Copula. |
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