| 组合信用损失分布的蒙特卡洛模拟 |
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| 引用本文： | 孙云龙,陈伶俐.组合信用损失分布的蒙特卡洛模拟[J].河南师范大学学报(自然科学版),2011,39(4):35-38. |
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| 作者姓名： | 孙云龙 陈伶俐 |
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| 作者单位： | 西南财经大学经济数学学院,成都,610074 |
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| 摘 要： | 组合损失分布的确定是测量各种组合信用风险的一个先决条件.本文通过对信用风险损失理论进行分析的基础上,分析阐述了利用蒙特卡罗方法模拟组合信用损失的原理和方法,并基于Matlab语言结合实际问题进行仿真实验,实验结果表明该模拟方法能较好地反映组合信用损失的分布特征,具有有效性和实用性.
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| 关 键 词： | 信用风险度量 信用损失分布 蒙特卡洛模拟 Cholesky分解 Matlab软件 |
Monte Carlo Simulation of Credit Loss Distribution of Portfolio |
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| SUN Yun-long,CHEN Lin-li.Monte Carlo Simulation of Credit Loss Distribution of Portfolio[J].Journal of Henan Normal University(Natural Science),2011,39(4):35-38. |
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| Authors: | SUN Yun-long CHEN Lin-li |
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| Institution: | SUN Yun-long,CHEN Lin-li(School of Finance and Economics,Southwestern University,Chengdu 610074,China) |
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| Abstract: | Identification for credit loss distribution of portfolio is prerequisite to measure the credit loss.The article explains the principles and methods of simulating the distribution of portfolio's credit loss with Monte Carlo method,on the basis of analysis on the theory of credit loss.Matlab is used to carry out the experimental simulation,the result of which shows the validity and practicability of the method. |
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| Keywords: | measuring credit risk credit Loss distribution Monte Carlo simulation Cholesky decomposition Matlab |
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