相依违约的违约风险度量研究及其在上市公司中的应用  

The Measurement of Correlated Default Risk and Its Application to Listed Companies

作　　者：张根明[1] 陈晓红[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《系统工程》2008年第5期61-67,共7页Systems Engineering

摘　　要：公司间各种纽带关系形成的相依违约会影响相关公司的违约风险。本文选择适合中国股市的copula函数,构建基于copula的相依违约混合违约风险度量模型。将其应用于交叉持股上市公司,进行考虑相依违约的违约风险度量。并比较未考虑和考虑相依违约两种情况下的违约风险度量结果,以及分析公司间相依违约差异给违约风险度量结果带来的影响。Correlated default created by all kinds of relationships among companies affects the default risk of the related corporations. We choose a copula function fit for Chinese stock markets, and construct a mixed model for measuring correlated default risk by using copula. By applying the improved model to listed cross-holding companies, this paper compares the default risk measurement free from default dependency with the one based on it, and analyses the influence of differences of correlated default among companies on the measurement results of the correlated default risk.

关 键 词：相依违约 违约风险 COPULA 交叉持股 

分 类 号：F830[经济管理—金融学]