信用违约风险传染建模被引量：24

Modelling of Contagion Effects

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摘要在信用组合中,企业的违约是相互随机依赖的。除了来自宏观经济因素的影响,即因果传染;还有一种影响来自于企业间的直接相互关系,我们称其为信用违约传染。在目前,席卷全球的次贷风暴,就是一个信用风险传染的实例。到目前为止,人们尝试了从不同角度为违约传染建模,特别是从简约模型角度出发。本文从结构模型角度出发,为信用违约传染建模。并在此模型基础上,分析其对信用衍生品定价的影响。 The default event is randomly dependent in the credit portfolio. The main influence comes from the common factors. But the direct relationship between the firms, called credit contagion, is not built in the classical models. In this paper, the author tries to describe the contagion effects in the structural approach and investigate the pricing effects of the model to basket credit derivatives.

作者王倩 T.Hartmannwendels

机构地区同济大学中德学院德国科隆大学银行业教席

出处《金融研究》 CSSCI 北大核心 2008年第10期162-173,共12页 Journal of Financial Research

关键词信用违约传染建模信用衍生品定价信用组合 pricing credit derivatives contagion modeling, credit portfolio

分类号 F830 [经济管理—金融学] F224 [经济管理—国民经济]

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参考文献12

1王倩,王煦逸,林阳春.金融风险传染模型对篮子信用期权对冲的影响[J].金融理论与实践,2007(2):3-5. 被引量：2
2王倩,王煦逸.信用违约风险传染模型的比较研究[J].金融理论与实践,2007(11):6-10. 被引量：3
3王倩,Hartmann-Wendels,王煦逸.信用风险传染综述[J].金融理论与实践,2008(4):92-95. 被引量：10
4Bielecki, T. , Butkowski, M. ,2002: Credit Risk: Modeling, Valuation and Hedging,Springer, Berlin.
5Bluhm, C. , Overbeck, L , Wagner, C. , 2003 : An Introduction to Credit Risk Modeling, Chapman & Hall/CRC, Boca Raton.
6Gennheimer, H, ,2002: Model Risk in Copula Based Default Pricing Models, working paper.
7Giesecke, K. , Weber, S. , 2004: Cyclical Correlations, Credit Contagion, and Portfolio Losses, Journal of Banking and Finance, Dec 2004, Vol. 28 Issue 12, p3009 -3036.
8Giesecke, IC , Weber, S. , 2004: Credit Contagion and Aggzegate Losses, working paper.
9Jarrow, R. , Yu, F. (2001) : Counterparty Risk and the Pricing of Defaultable Securities. The Journal of Finance LVI, 1765 - 1799.
10Laurent, J. , Gregory, I. , 2003 : Basket Default Swaps, CDO' s and Factor Copulas, working paper.

二级参考文献17

1Bielecki,T.,Rutkowski,M.(2000):Credit Risk:Modeling,Valuation and Hedging.Spinger Berlin.
2Bluhm,C.,Overbeck L.,Wagner,C.(2003):An Introduction to Credit Risk Modeling.Chanpman & Hall/CRC,Boca Ration.
3Bielecki, T., R.utkowski, M. (2002): Credit Risk: Modeling, Valuation and Hedging. Springer, Berlin.
4Bluhm, C., Overbeck L., Wagner, C. (2003): An Introduction to Credit Risk Modeling. Chapman & Hall/CRC, Boca Raton.
5Giesecke, K., Weber, S. (2003): Cyclical Correlations, Credit Contagion, and Portfolio Losses. Journal of Banking and Finance.
6Giesecke, K., Weber, S. (2004): Credit Contagion and Aggregate Losses. working paper.
7Jarrow, R., Yu, F. (2001): Counterparty Risk and the Pricing of Defaultable Securities. The Journal of Finance LVI, 1765- 1799.
8Schoebucher, P.(2003): Information-Driven Default Contagion, working paper.
9Bielecki, T., Rutkowski, M. (2002): Credit Risk: Modeling, Valuation and Hedging. Springer, Berlin.
10Bluhm, C., Overbeek L., Wagner, C. (2003): An Introduction to Credit Risk Modeling. Chapman & Hall/CRC, Boca Raton.