Credit Risk Illustrated under Coupled diffusions

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/71910

Title:	Credit Risk Illustrated under Coupled diffusions
Authors:	郭柏亨;Kuo,Po-Heng
Contributors:	統計研究所
Keywords:	違約;信用風險;系統性風險;KMV-默頓模型;關聯擴散模型;default;credit risk;systemic risk;coupled diffusion model ii
Date:	2016-06-29
Issue Date:	2016-10-13 14:05:54 (UTC+8)
Publisher:	國立中央大學
Abstract:	本文中，我們引用了一個關聯擴散模型來分析公司的信用風險。在負債的到期日時間T，假如公司的資產小於負債的帳面價值, 我們稱作違約。默頓模型在不同的測度下，在預測公司的信用風險時呈現出不同的表現方法。在實證研究上，我們使用最大概似法來討論。相比於KMV-默頓模型，關聯擴散模型在預測聯合違約機率上，發現聯合違約機率是個罕見事件，也被視為系統性風險機率。關鍵字：違約、信用風險、系統性風險、KMV-默頓模型、關聯擴散模型 ;In this paper, we introduce a model to analyze credit risk where the log-monetary reserves are driven by the coupled diffusions. The default is described as the assets of firm less than the book value of the liabilities in the maturity time T. In the different measure, the Merton’s model has a different presentation. In the empirical study, we use the Maximum Likelihood technique to estimate the parameters of the coupled diffusions, and analyze the systemic risk of the firms. Compared to the KMV-Merton model, the joint default probability given by the coupled diffusions is seen as a rare event treated as systemic risk. keywords: default, credit risk, systemic risk, KMV-Merton model, coupled diffusion model
Appears in Collections:	[Graduate Institute of Statistics] Electronic Thesis & Dissertation

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