動態投資組合信用風險模型及出生過程
Other Title
Dynamic Model of Portfolio Credit Risk With Pure Birth Process
Date Issued
2008
Date
2008
Abstract
We wish to provide a both simple and analytically tractable dynamic model of portfolio credit risk, as an attractive alternative model of traditional Gaussian Copula model. In our model, the default intensity is governed by a deterministic drift and an impulse, where the impulse follows a pure birth process and the impulse intensity will increase from time to time. This impulse caused by the macroeconomics phenomena plays a similar role of the correlation factors of Gaussian Copula model. This dynamic model could not only accurately fit the term structure of the CDS spread but also is useful in the valuation of CDO tranche spreads of different maturities. Furthermore, our model include more economical sense and empirical phenomena than traditional Gaussian Copula approach; for example, as the default environment worsen, the default probability of the companies of the portfolio increase, and the default correlation rise as well. Finally, this dynamic model of portfolio credit risk will provide us a straight forward and analytical tractable way to value other portfolio credit derivatives, such as forward CDOs.
Subjects
動態模型
出生過程
Loss Distribution
Bottom Up Approach
Top Down Approach
Type
thesis
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