信用违约互换对组合损失的影响
PDF下载 (732)姚艳杰,黄文礼,陶祥兴,付秀艳.信用违约互换对组合损失的影响[J].宁波大学学报(理工版),2012,25(04):70-74.DOI:
YAO Yan-jie,HUANG Wen-li,TAO Xiang-xing,FU Xiu-yan.Influence of Credit Default Swap on Portfolio Loss[J].Journal of Ningbo University(Natural Science & Engineering Edition),2012,25(04):70-74.DOI:
| Title: | Influence of Credit Default Swap on Portfolio Loss |
| 作者: | 姚艳杰, 黄文礼, 陶祥兴, 付秀艳 |
| Author(s): | YAO Yan-jie, HUANG Wen-li, TAO Xiang-xing, FU Xiu-yan |
| 关键词: | 商业银行; 信用风险; 传染与缓释; 渐进单因子模型 |
| Keywords: | CDS; commercial banks; credit risk; contagion and mitigation; asymptotic single-risk factor model |
| 分类号: | O175.2; O211 |
| 文献标识码: | A |
| 摘要: | 信用风险是商业银行面临的主要风险之一. 为了降低组合内信用风险的相关性、传染性、集中性, 采用CDS方式缓释信用风险. 在假定组合违约状态的违约吸收性、违约传染滞后性、条件独立性下, 拓展ASRF模型, 建立传染缓释周期内组合损失的CDS风险传染与缓释模型, 重点分析CDS传染与缓释行为对组合预期损失和非预期损失的影响. |
| Abstract: | Credit risk is one of the main risks which financial institutions have to face worldwide. We take CDS method to reduce the correlation, contagion and concentration risk in credit portfolio management. On the assumptions that the default state is absorbing, and contagion effect is lagged, as well as adopting the conditional independence, we also extend the ASRF model to contain CDS mitigation and contagion, and to focus on the detailed analysis of the CDS infections on both expected loss and unexpected loss of portfolio. |
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| 备注/Memo: | 收稿日期: 2012-04-12. 基金项目: 国家自然科学基金（11171306）; 浙江省自然科学基金（LY12A01024）. 第一作者: 姚艳杰（1987－）, 女, 辽宁朝阳人, 在读硕士研究生, 主要研究方向: 金融数学. E-mail: yaoyanjiejr@126.com *通讯作者: 陶祥兴（1965－）, 男, 浙江台州人, 博士/教授, 主要研究方向: 调和分析与偏微分方程、金融数学. E-mail: xxtau@163.com 宁波大学学报（理工版）网址：http://journallg.nbu.edu.cn/ |
