欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
在信贷组合管理的框架下,以行业信用风险为基础,构建了基于藤结构Copula的多元信用风险相关性度量模型,并以2006年6月～2010年12月中国上市公司数据对模型进行了参数估计,发现Canoni-cal藤结构更适合度量行业信用风险相关性,以电力煤气及水的生产为代表的强周期性行业对信用风险起着引导作用。
英文摘要：
Credit risk is easy to contagion nowadays,thus credit portfolio management has gradually become credit risk management as an important trend.Under the framework of credit portfolio management,in this paper the pair copula is constructed to evaluate the credit risk correlation based on the industrial credit risk,meanwhile,the parameters of the pair copula models are estimated by using the data of Chinese listed companies from June 2006 to December 2010.The results show that the Canonical pair copula is more suitable to describe the credit risk correlation,and the utilities industry has the guiding role for credit risk in credit portfolio.
同期刊论文项目
同项目期刊论文
期刊信息
位置：