KMV模型与Copula理论在信用风险的度量

给出了度量组合信用风险的一个数学模型,综合了单变量分析中的KMV模型和组合信用风险分析中的Copu-la理论,对企业之间的联合违约概率做了相关性分析,主要是采取了利用企业不同时期的金融市场数据得出企业资产价值数据,估计这些资产价值数据的边缘分布情况,再根据Copula函数进行相关的违约相关性研究.

The Measurement Method of Joint Credit Risk with the KMV Model and the Copula Theory

At present,credit risk measurement of the commercial banks in China,which mainly relies on the qualitative analysis of the financial report,is still at the stage of subjective analysis.However,quantitatively analyzing the credit risk by means of mathematical model has also made great progress,and different research results can be seen both in the single variable credit risk measurement and the joint credit risk measurement.This thesis discusses the measurement method of joint credit risk,and gives a mathematical model which can measure it.What has to be mentioned is that it integrates the KMV model in the single variable analysis with the Copula theory in the joint credit risk analysis so as to do some correlation analysis about the joint default probability between enterprises.Mainly to the use of business data in different periods of financial market obtained value of corporate assets,and estimated the value of these assets,then obtained the edge distribution of the data,get the related default correlation under the Copula functions.