基于<em>t</em>-copula的信用组合一致性风险度量

基于t-copula的信用组合一致性风险度量

基金项目: 国家自然科学基金资助项目(70573076);天津哲学社会科学研究项目(TJGL07-025)

详细信息

Research Center of Finance & Insurance, Tianjin University of Finance & Economics, Tianjin 300222, China

摘要: 以预期短缺ES作为信用组合的风险量度,利用t-copula建模债务人的资产相关性,然后运用小样本近似方法求解信用组合损失分布,并与利用高斯copula得出的结果作比较,提出了一种确定信用组合一致性风险量度ES的方法,并研究债务人资产相关性建模中的模型风险。
- 信用组合 /
- 一致性风险量度 /
- t-copula /
- 预期短缺(ES)
Abstract: Using expected shortfall (ES) as credit portfolio risk measures, this paper models the obligors’ asset correlation by t-copula and calculates credit portfolio loss distribution by applying small sample asymptotics. Then, through comparing the results under gauss copula and t-copula, we get a proper method to calculate the coherent risk measure and study model risk in modeling obligors’ asset correlation.
- credit portfolio /
- coherent risk measures /
- t-copula model /
- expected shortfall (ES)

[1]	Alexander J McNeil, Rüdiger Frey, Paul Embrechts. Quantitative risk management: concepts, techniques and tools[M]. Princeton: Princeton University Press, 2005.
[2]	Rudiger Frey, Alexander J McNeil. Copula and credit models[J]. Risk, 2001(10): 111-113.
[3]	Achal Bassamboo, Sandeep Juneja. Portfolio credit risk with extremal dependence: asymptotic analysis and efficient simulation[J]. Operations Research, 2008(3): 593-606.
[4]	Rudiger Frey, Alexander J McNeil. VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical Iinsights[J]. Journal of Banking & Finance, 2002(7): 1317-1334.
[5]	Koji Inui, Masaaki Kijima. On the significance of expected shortfall as a coherent risk measure[J]. Journal of Banking and Finance, 2004(4): 853-864.
[6]	Acerbi C, Tasche D. On the coherence of expected shortfall[J]. Journal of Banking and Finance, 2002(26): 1491-1507.
[7]	Huang X, Oosterlee C W, J A M van der Weide. Higher order saddlepoint approximations in the vasicek portfolio credit loss model[J]. Journal of Computational Finance, 2007, 11(1): 93-113.
[8]	Michael A Fligner. Small sample asymptotics[J]. Journal of Educational Statistics, 1988(1): 53-61.
[9]	Jan Beran, Dirk Ocker. Small sample asymptotics for credit risk portfolios[J]. Journal of Computational & Graphical Statistics, 2005(1): 339-351.