MEASURES OF DEFAULT DEPENDENCE RISK BASED ON COPULAS

摘要：

This paper studies the problem of forecasting default. The default is the result that the credit rating of an obligor, determined by obligors operating situation and financing state, decreases to some certain degree. The dependence relationship of financing indexes is investigated to judge the credit rating of an obligor and the conditional dependence probability and probability density functions are proposed.

关键词： Default Copula Conditional dependence probability Financing indezes

作者: WENDE YI AIHUA HUANG

作者单位: Dept.of Mathematics & Statistics, Chongqing University of Arts and Sciences Dept.of Planning Finance, Chongqing University of Arts and Sciences, Yongchuan, Chongqing 402160, Ch

会议类型: 国际会议

会议名称: The Second International Conference on Information & Systems Sciences(ICISS2008)(第二届信息与系统科学国际会议)

会议地点: 大连

会议语种:英文

页码: 524-528

在线出版日期: 2008-12-18（万方平台首次上网日期，不代表论文的发表时间）