基于Copula的贷款组合经济资本配置模型及仿真  

Economic Capital Allocation Model and Simulation Based on Copula Function for Loan Portfolio

作　　者：徐志春[1] 

机构地区：[1]华中科技大学管理学院,湖北武汉430074

出　　处：《武汉理工大学学报（信息与管理工程版）》2008年第5期753-756,共4页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(70272033)

摘　　要：计算贷款组合经济资本一个比较实用的方法是估算其不同置信度下的风险值。运用Copula函数来改进Credit-Metrics模型,采用Monte Carlo模拟方法来进行实证研究。结果表明,传统的VaR方法的确低估了信用风险值,而基于t分布的Copula方法能抓住贷款组合收益分布的"厚尾"特征,更接近实际。To calculate the economic capital of a loan portfolio, an effective method is to estimate the value at risk at different levels of confidence. The copula function was used to improve the model of Credit Metrics, and an empirical study was made with Monte Carlo Method. The result shows that the traditional method of VaR underestimates the credit risk . However, the copula based t - distribution can capture the characteristics of fat tail of the join distribution of interest rate, which is closer to reality.

关 键 词：经济资本 资本配置 风险值 连接函数 

分 类 号：F830.5[经济管理—金融学]