摘要
本文给出违约相依概念,首次指出违约的外部性本质,并视违约为传染性病毒,借鉴生物病毒传播过程的一般规律,用机理分析方法建立由简单到复杂的各级抽象的微分方程模型:描述了违约在给定的贷款组合内的传播过程,分析了受传染而造成违约的贷款数目的变化规律,预报了贷款组合中违约高潮到来的时刻,并结合模型分析了预防违约蔓延的手段。
In this paper, the definition of dependent default was presented and the external essence of the default was indicated firstly. The authors then regard default as a contagious virus, and modeled differential equations by using the law of biological virus transmitted. In the given loan portfolio, and analyze the transmitting process of the default, the variation law of default loan numbers and the high tide forecasting. Finally the precaution contagious means of default was suggested.
出处
《金融研究》
CSSCI
北大核心
2006年第7期143-150,共8页
Journal of Financial Research
关键词
违约
违约传染
信用风险
微分方程
default
default contagion
credit risk
differential equation
