信用组合相关结构对组合风险量度的影响  

The Impact of the Dependence Structure of Credit Risk Portfolio on the Risk Measures

作　　者：詹原瑞[1] 刘俊梅[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《山西大学学报（哲学社会科学版）》2012年第5期116-121,共6页Journal of Shanxi University(Philosophy and Social Science Edition)

基　　金：国家自然科学基金资助项目(70573076);高校博士学科点专项科研基金资助项目(20050056057)

摘　　要：针对现有信用风险组合模型在违约相关结构建模中存在的问题,文章提出了基于copula函数的信用风险组合模型,并在此基础上,通过数值举例比较分析了相关结构对组合损失分布和风险量度的影响,表明了相关结构在信用风险组合建模中的重要性以及基于copula函数信用风险组合模型的优势。Aimed at the drawbacks in modeling dependent structure of default in the existing credit portfolio models,a credit portfolio model based on copula functions is proposed.Then through the example of numerical value,the impact of dependent structure of portfolio on portfolio loss distribution and risk measure is compared and analyzed.The conclusions are drawn that it is important to model dependence structure in the credit portfolio models,and that it is proper to model credit risk portfolio based on copula function.

关 键 词：相关结构 COPULA函数 组合损失分布 风险量度 

分 类 号：F224[经济管理—国民经济] F830.9