本文選題：濾子理論 + 信用風(fēng)險(xiǎn)傳染模型��； 參考：《系統(tǒng)工程》2012年12期

【摘要】：金融市場(chǎng)信用風(fēng)險(xiǎn)的傳染和蔓延,直接影響金融市場(chǎng)的健康穩(wěn)定發(fā)展;建立信用風(fēng)險(xiǎn)傳染模型,把握信用風(fēng)險(xiǎn)傳染規(guī)律,有利于實(shí)現(xiàn)對(duì)金融市場(chǎng)的有效監(jiān)管�；诂F(xiàn)有針對(duì)信用風(fēng)險(xiǎn)傳染的研究成果,利用濾子理論,構(gòu)建了具有信用違約序列特征和信用違約時(shí)間概率密度及其分布函數(shù)結(jié)構(gòu)的信用風(fēng)險(xiǎn)傳染模型,由此得到公司條件生存概率分布函數(shù);在此基礎(chǔ)上,通過(guò)引入一個(gè)二維Gumbel Copula函數(shù),對(duì)公司條件生存概率分布的影響因素進(jìn)行仿真實(shí)驗(yàn)及對(duì)比分析。研究結(jié)果表明:信用違約的相關(guān)性、序列性以及信用違約強(qiáng)度都對(duì)信用風(fēng)險(xiǎn)的傳染效應(yīng)和公司的條件生存概率影響顯著。
[Abstract]:The contagion and spread of credit risk in financial market directly affect the healthy and stable development of financial market, and establish credit risk contagion model and grasp the law of credit risk contagion, which is beneficial to the effective supervision of financial market. Based on the existing research results on credit risk contagion and using filter theory, a credit risk contagion model with the characteristics of credit default sequence, time probability density of credit default and its distribution function structure is constructed. On the basis of this, a two-dimensional Gumbel Copula function is introduced to simulate and analyze the influencing factors of the survival probability distribution of company conditions. The results show that the correlation, sequence and intensity of credit default have a significant impact on the contagion effect of credit risk and the survival probability of the company.
【作者單位】： 東南大學(xué)經(jīng)濟(jì)管理學(xué)院;中國(guó)建設(shè)銀行江蘇省分行;
【基金】：國(guó)家自然科學(xué)基金資助項(xiàng)目(71071034) 國(guó)家重點(diǎn)基礎(chǔ)研究發(fā)展計(jì)劃(973計(jì)劃)項(xiàng)目(2010CB328104-02)
【分類號(hào)】：F830.9;F224
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本文編號(hào)：2010946