A hyperbolic function is introduced to reflect the attenuation effect of one firm＇s default to its partner. If two firms are competitors （copartners）, the default intensity of one firm will decrease （increase） ab...A hyperbolic function is introduced to reflect the attenuation effect of one firm＇s default to its partner. If two firms are competitors （copartners）, the default intensity of one firm will decrease （increase） abruptly when the other firm defaults. As time goes on, the impact will decrease gradually until extinct. In this model, the joint distribution and marginal distributions of default times are derived by employing the change of measure, and the fair swap premium of a credit default swap （CDS） can be valued.展开更多
Affected by the Federal Reserve's interest rate hike and the downward pressure on the domestic economy,the phenomenon of default is still prominent.The credit risk of the listed companies has become a growing conc...Affected by the Federal Reserve's interest rate hike and the downward pressure on the domestic economy,the phenomenon of default is still prominent.The credit risk of the listed companies has become a growing concern of the community.In this paper we present a novel credit risk measurement method based on a dimensional reduation technique.The method first extracts the risk measure indexes from the basal financial data via dimensional reduation by using deep belief network(DBN),exploratory factor analysis(EFA)and confirmatory factor analysis(CFA)in turn.And then the credit risk is measured by a systemic structural equation model(SEM)and logistic distribution.To validate the proposed method,we employ the financial data of the listed companies from Q12019 to Q22022.The empirical results show its effectiveness on statistical evaluation,assessment on testing samples and credit risk forecasting.展开更多
基金the National Basic Research Program of China(973 Program)(No.2007CB814903)the National Natural Science Foundation of China(No.70671069)
文摘A hyperbolic function is introduced to reflect the attenuation effect of one firm＇s default to its partner. If two firms are competitors （copartners）, the default intensity of one firm will decrease （increase） abruptly when the other firm defaults. As time goes on, the impact will decrease gradually until extinct. In this model, the joint distribution and marginal distributions of default times are derived by employing the change of measure, and the fair swap premium of a credit default swap （CDS） can be valued.
基金Supported by the National Social Science Foundation of China(21CTJ005)the Anhui Provincial Natural Science Foundation(KJ2017A105)。
文摘Affected by the Federal Reserve's interest rate hike and the downward pressure on the domestic economy,the phenomenon of default is still prominent.The credit risk of the listed companies has become a growing concern of the community.In this paper we present a novel credit risk measurement method based on a dimensional reduation technique.The method first extracts the risk measure indexes from the basal financial data via dimensional reduation by using deep belief network(DBN),exploratory factor analysis(EFA)and confirmatory factor analysis(CFA)in turn.And then the credit risk is measured by a systemic structural equation model(SEM)and logistic distribution.To validate the proposed method,we employ the financial data of the listed companies from Q12019 to Q22022.The empirical results show its effectiveness on statistical evaluation,assessment on testing samples and credit risk forecasting.
