| 基于亚超度量空间的信用风险关联结构分析 |
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| 引用本文： | 罗长青,欧阳资生,王纲金. 基于亚超度量空间的信用风险关联结构分析[J]. 技术经济, 2013, 0(3): 110-117 |
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| 作者姓名： | 罗长青 欧阳资生 王纲金 |
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| 作者单位： | [1]湖南商学院财政金融学院,长沙410205 [2]湖南大学工商管理学院,长沙410082 |
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| 基金项目： | 国家社会科学基金资助项目“信用组合风险度量统计相依模型及其应用研究”（11BTJO11） |
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| 摘 要： | 将亚超度量空间的分析范式引入信贷组合管理,用以确定行业信用风险的关联结构。在构建行业信用风险指数的基础上,运用最小生成树确定唯一的行业信用风险指数分层结构,并利用系统聚类方法将样本行业分为强周期行业、防御型行业、成长型行业和弱周期行业。基于亚超度量空间,可将信贷资产组合分为同质资产组合和异质资产组合,从而实现信贷组合管理的降维处理,并提高商业银行等金融机构的信用风险管理效率。
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| 关 键 词： | 亚超度量空间 信用风险 关联结构 信贷组合管理 |
Analysis on Correlation Structure of Credit Risk Based on Subdominant Ulatra-metric Space |
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| Luo Changqing,Ouyang Zisheng,Wang Gangjin. Analysis on Correlation Structure of Credit Risk Based on Subdominant Ulatra-metric Space[J]. Technology Economics, 2013, 0(3): 110-117 |
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| Authors: | Luo Changqing Ouyang Zisheng Wang Gangjin |
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| Affiliation: | 1. Finance School, Hunan University of Commerce,Changsha 410205, China; 2. College of Business Administration, Hunan University, Changsha 410082, China) |
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| Abstract: | This paper introduces the paradigm of subdominant ultra-metric space into credit portfolio management in order to analyze the correlation structure of industrial credit risk. On the basis of constructing industrial credit risk index,it applies the minimal spanning tree to determine the only one hierarchical structure of industrial credit risk index. Then it uses the systematic clustering method to divide the sample industries into strong cyclical industry,growth industry,defensive industry and weak cyclical industry. Based on subdominant ultra-metric space,it categorizes the credit asset into homogeneous group and heterogeneous group, which could reduce the dimension of credit portfolio and enhance credit risk management efficiency. |
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| Keywords: | subdominant ultra-metric space credit risk correlation structure credit portfolio management |
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