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Credit Analysis of Corporate Credit Portfolios: A Cash Flow Based Conditional Independent Default Approach
Other Title
公司債務組合信用風險分析現金流量基礎之條件獨立違約法
Journal
期貨與選擇權學刊
Journal Volume
11
Journal Issue
1
Pages
1
End Page
38
Date Issued
2018
Author(s)
Abstract
This study combines a cash flow based structural credit model with a conditional independent default approach, the factor copula method, to estimate multi-period credit risk of a corporate credit portfolio. Unlike most existing portfolio credit models, this approach considers state (risk) dynamics and can endogenously estimate the recovery rate. The empirical results of applying the proposed approach to price a market-traded CDX show that the new approach performs well, especially for a model with a dynamic default threshold.
Type
journal article