一种对违约时间与违约顺序构建的模型（英文）  

A Simple Model for Default Times and Default Orders

作　　者：唐潋[1] 陈志寅[1] 

机构地区：[1]南开大学数学科学学院,天津300071

出　　处：《南开大学学报（自然科学版）》2014年第1期7-12,共6页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：Supported partially by NNSF of China(11271204)

摘　　要：对一组违约时间的建模一般分为无次序时间和次序时间.其中差别主要是是否考虑违约个体的信息.提出了从个体之间的违约顺序出发对违约时间建模,其中违约事件的构造过程与一个置换上的概率有关.给出了一个简单的违约顺序上的概率的例子.该模型来源于一种置换上的指标,风险排名更高的个体违约事件先发生的概率更大.最后,在已知顺序的条件下,违约分布被分解为条件违约分布的和.The models of default times can be mainly divided into two catalogs： the ordered times and the unordered ones. The main difference between these two approaches is the default identities. The default times are modelled with a special focus on the setting of the default order of identities. For this model, the loss pro- cess related to a probability on permutations is constructed. A simple setting of the probability on default orders is given by a common index of permutations, inverse index. For the parameterized probability, the heterogene- ity in the portfolio is denoted just by using one parameter h, where individual obligors are ranked by the riski- ness of default. Then conditioned on the default order, the loss distribution is deconposed to an aggregate of conditional loss distribution.

关 键 词：违约时间 违约顺序 置换上的概率 

分 类 号：O211.9[理学—概率论与数理统计]