ISSN 1008-2204
CN 11-3979/C
刘久彪. 基于t-copula的信用组合一致性风险度量[J]. 北京航空航天大学学报社会科学版, 2011, 24(1): 81-85.
引用本文: 刘久彪. 基于t-copula的信用组合一致性风险度量[J]. 北京航空航天大学学报社会科学版, 2011, 24(1): 81-85.
Liu Jiubiao. Coherent Measures of Credit Portfolio Risk Based on t-copula[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2011, 24(1): 81-85.
Citation: Liu Jiubiao. Coherent Measures of Credit Portfolio Risk Based on t-copula[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2011, 24(1): 81-85.

基于t-copula的信用组合一致性风险度量

Coherent Measures of Credit Portfolio Risk Based on t-copula

  • 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。

     

    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.

     

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