基于滤子理论的信用风险传染模型

Credit Risk Contagion Model Based on Filter Theory

金融市场信用风险的传染和蔓延,直接影响金融市场的健康稳定发展;建立信用风险传染模型,把握信用风险传染规律,有利于实现对金融市场的有效监管。基于现有针对信用风险传染的研究成果,利用滤子理论,构建了具有信用违约序列特征和信用违约时间概率密度及其分布函数结构的信用风险传染模型,由此得到公司条件生存概率分布函数;在此基础上,通过引入一个二维Gumbel Copula函数,对公司条件生存概率分布的影响因素进行仿真实验及对比分析。研究结果表明:信用违约的相关性、序列性以及信用违约强度都对信用风险的传染效应和公司的条件生存概率影响显著。

Credit risk contagion in financial markets has a direct impact on the healthy and stable development of fiTlancial markets. Modeling the credit risk contagion and grasping the law of credit risk contagion are conducive to achieving the effective regulation of financial markets. Based on the informed theoretical research of credit risk contagion, and by using the filter theory, we construct a credit risk contagion model with features of credit default sequence, the structure of probability density of credit default time and the distribution function of company＇s conditional survival probability. By introducing a two-dimensional Gumbel Copula function, we carry out simulation experiment and comparative analysis of the influencing factor of the company＇s conditional survival probability distribution. We find that the impact of the sequentiality, correlation and intensity of credit defaults on the contagion effect of credit risk and the company＇s survival probability is significant.