| 相依违约的违约风险度量研究及其在上市公司中的应用 |
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| 引用本文： | 张根明,陈晓红.相依违约的违约风险度量研究及其在上市公司中的应用[J].系统工程,2008,26(5). |
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| 作者姓名： | 张根明 陈晓红 |
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| 作者单位： | 中南大学,商学院,湖南,长沙,410083 |
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| 摘 要： | 公司间各种纽带关系形成的相依违约会影响相关公司的违约风险.本文选择适合中国股市的copula函数,构建基于copula的相依违约混合违约风险度量模型.将其应用于交叉持股上市公司,进行考虑相依违约的违约风险度量.并比较未考虑和考虑相依违约两种情况下的违约风险度量结果,以及分析公司间相依违约差异给违约风险度量结果带来的影响.
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| 关 键 词： | 相依违约 违约风险 copula 交叉持股 相依违约 风险度量模型 研究 上市 应用 Listed Companies Application Default Risk 差异 分析 结果 情况 比较 交叉持股 混合 函数 copula 股市 中国 选择 |
The Measurement of Correlated Default Risk and Its Application to Listed Companies |
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| ZHANG Gen-ming,CHEN Xiao-hong.The Measurement of Correlated Default Risk and Its Application to Listed Companies[J].Systems Engineering,2008,26(5). |
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| Authors: | ZHANG Gen-ming CHEN Xiao-hong |
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| Institution: | School of Business;Central South University;Changsha 410083;China |
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| Abstract: | Correlated default created by all kinds of relationships among companies affects the default risk of the related corporations.We choose a copula function fit for Chinese stock markets,and construct a mixed model for measuring correlated default risk by using copula.By applying the improved model to listed cross-holding companies,this paper compares the default risk measurement free from default dependency with the one based on it,and analyses the influence of differences of correlated default among companie... |
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| Keywords: | Correlated Default Default Risk copula Cross-holding |
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