| 基于t-copula的信用组合一致性风险度量 |
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| 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. |
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| 作者姓名： | 刘久彪 |
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| 作者单位： | 天津财经大学,金融与保险研究中心,天津,300222 |
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| 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) |
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| 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。
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| 关 键 词： | 信用组合 一致性风险量度 t-copula 预期短缺(ES) |
| 收稿时间： | 2009-11-25 |
Coherent Measures of Credit Portfolio Risk Based on t-copula |
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| 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. |
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| Authors: | Liu Jiubiao |
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| Institution: | Research Center of Finance & Insurance, Tianjin University of Finance & Economics, Tianjin 300222, China |
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| 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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| Keywords: | credit portfolio coherent risk measures " target="_blank">t-copula modelzz')" href="#"> t-copula model expected shortfall (ES) |
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