信用风险中回收率分布的双Beta模型  

Double Beta Distribution Model of Recovery Rate in Credit Risk

作　　者：王国栋[1] 詹原瑞[2] 

机构地区：[1]天津商业大学经济学院,天津300134 [2]天津大学管理学院,天津300072

出　　处：《中国管理科学》2011年第6期10-14,共5页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70573076);国家社会科学基金资助项目(11BGL072)

摘　　要：本文研究了随机回收率的分布,建立了回收率的双Beta分布密度模型,它具有双峰分布的特点,这与Moody公司的最新研究相吻合,弥补了现有回收率分布模型均为单峰的不足。利用基于数论网格的序贯优化算法对所建模型的参数做出了估计,借助于核密度估计的工具,进行了实证分析,结果表明双Beta模型的拟合误差很小,远小于Beta模型的误差,它是表示回收率理想的模型。最后给出了抽取双Beta分布随机数的方法。In this paper, the distribution of random recovery rate is studied, and double Beta distribution density model is established. This model has a characteristic of two peaks, which meets the new findings of Moody company, and improves the result that the present models all have only one peak. By using the sequential optimization algorithm based the NT-net to estimate parameters and the tools of kernel density estimation, the demonstration study is made. The result shows that the fitting error of double Beta model is quite little and far less than that of Beta model, so double Beta model is an ideal model to denote the distribution of recovery rate. The method is given to draw the random numbers from double Beta model at the end of the paper.

关 键 词：回收率 双Beta模型 核密度估计 双峰分布 序贯优化算法 

分 类 号：F832[经济管理—金融学]