本文選題：違約相依性 + Pair�。� 參考：《數(shù)學(xué)的實(shí)踐與認(rèn)識(shí)》2014年04期

【摘要】：如何衡量違約風(fēng)險(xiǎn)乃至違約相依性是債務(wù)抵押債券定價(jià)的主要問題.運(yùn)用PairCopula刻劃信用資產(chǎn)組合違約時(shí)刻的相依結(jié)構(gòu),通過Pair Copula分解得到資產(chǎn)組合違約時(shí)刻的聯(lián)合密度,利用Monte Carlo模擬估算CDO各系列的公平價(jià)差,進(jìn)而分析各系列公平價(jià)差對(duì)回收率的敏感性.實(shí)證研究結(jié)果表明,Pair Copula能有效捕捉信用資產(chǎn)組合的違約相依性,各系列公平價(jià)差隨著回收率的增加而減小.
[Abstract]:How to measure default risk and even default dependence is the main problem of debt collateralized bond pricing. The dependent structure of default time of credit portfolio is described by PairCopula, the joint density of default time of portfolio is obtained by Pair Copula decomposition, and the fair price difference of each series of CDO is estimated by Monte Carlo simulation. Then the sensitivity of each series of fair price difference to recovery rate was analyzed. The empirical results show that pair Copula can effectively capture the default dependence of credit portfolio, and the fair spread of each series decreases with the increase of recovery rate.
【作者單位】： 中國(guó)科學(xué)技術(shù)大學(xué)統(tǒng)計(jì)與金融系;深圳大學(xué)管理學(xué)院;
【基金】：中國(guó)科學(xué)院知識(shí)創(chuàng)新工程重要方向項(xiàng)目(KJCX3-SYW-S02) 國(guó)家自然科學(xué)基金(71001073) 深圳大學(xué)科研基金(201121)
【分類號(hào)】：F830.91;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 穆放;宋e，

本文編號(hào)：1846007