中小企业集合债券总体信用风险度量研究

中小企业集合债券总体信用风险既包括系统风险产生的周期性违约风险,又包括相互关联关系导致的传染性违约风险。首先通过对因素模型的改进构建模型Ⅰ,研究集合债券的周期性违约风险;在此基础上引入违约传染建立模型Ⅱ,分析违约传染对违约概率及违约相关性的影响,研究集合债券的总体信用风险。最后基于模型Ⅱ进行算例研究,得出结论：企业间的相互关联关系降低了其1次违约概率,增加了其多次违约概率即违约相关性。

Measurement to Overall Credit Risk of SME Collective Bonds

The overall credit risk of SME collective bonds includes both the cyclical nature of default risk caused by the systemic risk,but also including the relationship led to the infectious risk of default.First,we try to improve factor model to build modelsⅠ,and study the cyclical nature of default risk of a collection of bonds.As a basis for introducing default contagion to build model Ⅱ,then we try to analyze the effect of default contagious phenomenon to probability of corporate default and default correlation,and to research the overall credit risk of collection of bonds.Finally,based on the model Ⅱ,and through numerical examples,we concluded that： the relationship between enterprises increases their joint default probabilities and default a correlation,the nature of breach of infection is a default correlation.