信用风险建模中的随机过程  

Stochastic Processes in Credit Risk Modeling

作　　者：丁东洋[1] 刘希阳[2] 

机构地区：[1]南昌大学廉政研究中心,江西南昌330031 [2]中国人民银行鹰潭市中心支行,江西鹰潭335000

出　　处：《广西财经学院学报》2012年第1期98-103,共6页Journal of Guangxi University of Finance and Economics

基　　金：江西省高校人文社会科学研究规划项目"开放经济下信用风险转移对金融稳定的影响研究"(JJ1138)

摘　　要：信用风险建模中广泛使用跳跃过程描述违约和等级转移事件,从信用风险的角度研究跳跃过程的基本概念和性质十分必要。泊松过程用来描述一般动态变化,而复合的及广义双重随机泊松过程用来描述非时齐动态变化。相关实例和模拟研究有助于更好的理解信用风险随机过程的特征并正确建模。In credit risk modeling,jump process is widely used to describe both default and rating transition events,and it is very necessary to study some basic definitions and properties of the jump process from the perspective of credit risk.Poisson process is used to describe common dynamic change,while the compounded and double stochastic Poisson process is used to describe the time-inhomogeneous dynamic change.Relevant examples and simulated studies contribute to better understanding the features of the stochastic processes of credit risk and correct modeling.

关 键 词：信用风险 马尔科夫过程 泊松过程 

分 类 号：F224.0[经济管理—国民经济]