基于Copula函数度量违约相关性  

The Measurement of Test Default Correlation Based on Copula Function

作　　者：朱世武[1] 

机构地区：[1]清华大学经管学院金融系

出　　处：《统计研究》2005年第4期61-64,共4页Statistical Research

基　　金：国家自然科学基金资助项目 ( 70 2 73 0 1 6)。

摘　　要：The rapidly growing credit derivatives market requires to value credit derivatives and portfolios of credit risks,and how to measure the correlation between each credit risk is the key problem of valuation.In this paper,we introduce a new technology——Copula function——to integrate single credit risk,and discuss how to use copula function to manager portfolios of credit risks and value credit derivatives. Credit risks are the main problems for Chinese banks.Credit derivatives have a function to transfer credit risks,Credit derivatives market grows very quickly,they are sure to become a very important part of financial market.Study the valuation techniques for credit derivatives,design appwpriate derivatives for Chinese financial institutions,and seek useful methods to mangage credit risks are helpful to improve the benefits and asset quality of Chinese commercial banks.The rapidly growing credit derivatives market requires to value credit derivatives and portfolios of credit risks,and how to measure the correlation between each credit risk is the key problem of valuation.In this paper,we introduce a new technology——Copula function——to integrate single credit risk,and discuss how to use copula function to manager portfolios of credit risks and value credit derivatives. Credit risks are the main problems for Chinese banks.Credit derivatives have a function to transfer credit risks,Credit derivatives market grows very quickly,they are sure to become a very important part of financial market.Study the valuation techniques for credit derivatives,design appwpriate derivatives for Chinese financial institutions,and seek useful methods to mangage credit risks are helpful to improve the benefits and asset quality of Chinese commercial banks.

关 键 词：COPULA 违约相关性 度量 函数 

分 类 号：F830.92[经济管理—金融学] F273.7