Credit Risk Illustrated under Coupled diffusions

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郭柏亨(Po-Heng Kuo) 查詢紙本館藏

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統計研究所

論文名稱

(Credit Risk Illustrated under Coupled diffusions)

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摘要(中)

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

摘要(英)

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

關鍵字(中)

★ 違約
★ 信用風險
★ 系統性風險
★ KMV-默頓模型
★ 關聯擴散模型

關鍵字(英)

★ default
★ credit risk
★ systemic risk
★ coupled diffusion model ii

論文目次

摘要i
Abstract ii
1 Introduction 1
2 Credit risk models 5
2.1 The KMV-Merton model
2.1.1 The Merton’s model............... 6
2.2 The coupled diffusion model........ 10
3 The parameters estimation 14
3.1 The correlated Merton model.........14
3.2 The coupled diffusion model.........17
4 Simulations 20
4.1 Setup...............................20
4.2 Simulation result...................22
5 Empirical study 28
5.1 Data description....................28
5.2 Empirical result....................29
6 Conclusion 33
Appendices 34
References 42

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指導教授

孫立憲(Li-Hsien Sun)

審核日期

2016-6-29

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