| 摘要(英) |
After financial crisis in 2007, the credit risk management has became one of the important
issues around the financial institutions. In Duffie (2011), there are several features of correlated default between each firm, namely co-movement, contagion, and information
release. Fuh and Kao (2017) use the commonly factor model to capture those features and proposed three types of multi-name Distance-to-Default. In order to study the correlation between each firm, we use factor model which propose by Fuh and Kao (2017) to capture the correlation and calculate the variance-covariance matrix. Using the US financial data, we calculate the variance-covariance matrix and multi-name Distance-to-Default. We also separate our data to observe the different of the correlation of between each firm before and after firm default.
From the correlation matrix based on empirical data, we can find that the firm with high firm-value is not easily influenced from other firm default and the firm with low firmvalue is easily influenced from other firm default. In addition, we also observe that we can easily distinguish the firm with high and low firm-value from the color of correlation matrix. Based on multi-name Distance-to-Default, we can discover that the default event have an impact on other firms in same industry sector. However, the default probability of other firms are also affected from the financial state of itself or the fluctuation of financial market. |
| 參考文獻 |
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