A Copula Method for Correlation of Credit Rating Migration
How to monitor the changes of obligators credit rating is very important to manage credit risk, especially the obligators have strong correlated with each other, such as subprime mortgage loan crisis. In order to study the credit rating migration of obligators who have correlations with each other, we introduced a new tool to study the correlation of credit risk, the copula function, and built the general model to connect the margin distribution function to a joint distribution function of obligators, then We computed the migration rating matrix with S&Ps data by t-copula, the results show that it is very important of correlation for studying credit rating migration in credit risk management.
Credit risk rating migration correlation copula function
Xiaosi Xu Ying Chen Jun Zheng
School of Management, North China Coal Medical University Tangshan, 063000, China
国际会议
北京
英文
762-764
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）