跳跃—扩散条件下信用风险相关性度量的变结构Copula模型  

Variable Structure Copula Models of Credit Risk Correlation under the Condition of Jump-Diffusion Process

作　　者：罗长青[1,2] 朱慧明[1] 欧阳资生[2] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南商学院财政金融学院,湖南长沙410206

出　　处：《中国管理科学》2014年第3期1-12,共12页Chinese Journal of Management Science

基　　金：国家自然科学基金创新研究群体项目(71221001);国家社科基金资助项目(11BTJ011);教育部人文哲学社会科学青年基金项目(13YJCZH123);中国博士后科研基金项目(2013M542111)

摘　　要：针对现有研究大多只考虑扩散条件的不足，构建了跳跃一扩散条件下信用风险相关性度量的变结构Copula模型。运用1991～2010年中国上市公司的数据构建了行业信用风险指数，运用双指数跳跃扩散模型来识别行业信用风险的跳跃扩散点，发现在样本期，共同因素与行业特质因素引发了行业信用风险的多次跳跃。在识别跳跃点的基础上，构建了变结构Copula模型，该模型能较准确地描述信用风险相关性的变化，各行业之间的信用风险相关系数在0．5以上，并且上市公司信用风险的变化呈现出“一损俱损”的特征，而“一荣俱荣”的特征并不明显。构建的模型及实证结论将有助于理解信用风险相关或传染，从而为信贷组合管理和风险管理提供更多的方法与经验。According to the shortcoming of the current literatures that stress more on the diffusion process, variable structure Copula models are constructed for credit risk correlation evaluation under the condition of jump-diffusion process. By applying the Chinese Listed Companies data from 1991 to 2010, the industry indexes of credit risk are calculated, and the empirical results show that the common factor and the indus- try idiosyncrasy factors lead the jump several times during the sample period. On the basis of identifying the variable structure points, the variable structure copula models are constructed. The results show that the models can describe the credit risk correlation accurately, and the dynamic correlation coefficients are above 0.5 for all industry match-up. Meanwhile, it can also found that the credit risk of different compa- nies rise together, but it may not fall together. The models and conclusions are helpful to understand the credit risk correlation or contagion, thus they can provide more methods and instructions for the credit portfolio management and risk management.

关 键 词：跳跃-扩散 双指数模型 变结构Copula 信用风险相关性 

分 类 号：F830.9[经济管理—金融学]