信用风险中的违约相关性及其特征分析
被引量：1
Analysis on the Characteristics of Default Correlation
摘要
信用资产之间的违约相关性对组合风险有重要影响,正确的认识和把握违约相关性,已成为有效管理信用风险的重要前提.本文首先介绍了违约相关性产生的原理,在此基础上对违约相关性的特征进行分析,并得出了对实际的风险管理工作有指导意义的结论.
出处
《中国管理科学》
CSSCI
2003年第z1期259-262,共4页
Chinese Journal of Management Science
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同被引文献13
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