Credit Risk Correlation Evaluation Based on Time-varying Copula Models

摘要：

It is vital for commercial bank and other relative institution to evaluate corporate credit risk correlation accurately. This paper constructs the time-varying copula models to evaluate the credit risk correlation. The parameters of copula models are estimated through maximum likelihood estimation method, and the empirical results show that Gaussian Copula and Symmetrized Joe-Clayton copula models can capture the time variation characteristics of credit risk correlation between real estate industry and construction industry, and real estate industry and textile industry.

关键词： credit risk correlation time-varying copula KMV model

作者: XIE Chi LUO Changqing

作者单位: College of Business Administration, Hunan University, Changsha, P.R.China, 410082

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 577-583

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）