| 聚合信用风险模型的改进和研究 |
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| 引用本文： | 汪飞星,姚磊.聚合信用风险模型的改进和研究[J].价值工程,2013,32(5):168-169. |
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| 作者姓名： | 汪飞星 姚磊 |
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| 作者单位： | 北京科技大学数理学院,北京,100083 |
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| 摘 要： | 近年来的研究发现,违约损失率的分布呈现一种双峰特征。文章对传统聚合信用风险模型进行改进,用具有双峰特征的双beta分布来刻画违约损失率的变化,给出全部贷款组合信用风险概率生成函数的解析式,利用数值模拟的结果验证了模型的有效性。
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| 关 键 词： | 鞍点逼近 双峰分布 credit risk+ |
Improvement of Credit Risk+ Model and Research |
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| WANG Fei-xing
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YAO Lei.Improvement of Credit Risk+ Model and Research[J].Value Engineering,2013,32(5):168-169. |
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| Authors: | WANG Fei-xing YAO Lei |
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| Abstract: | The study finds that the distribution of the default rate is bimodal in recent years.In this paper,the traditional credit risk model is improved by using the double beta distribution to depict the change of the default loss rate.The analytic expression of the full loan portfolio's cumulant generating function is given and the effectiveness of the model is demonstrated by the use of numerical simulation results. |
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| Keywords: | saddle point approximation bimodal distribution credit risk+ |
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