Expected Shortfall and It’s Application in Credit Risk Measurement

摘要：

We study the credit risks of corporate debts using the coherent risk measure of ES(expected shortfall). Under our model,the firms’ value and their volatilities are the solutions of nonlinear equations. We solve the equations by the Newton-Raphson method. With the solutions,we can get the distribution of the firms’ future value. Then we estimate the ES using the Richardson extrapolation method. Compared with the firms’ repayment capability indicators,the risks measured by ES is consist with the real behavior of the firms. This shows the ES measure is effective.

关键词： coherent risk measure option pricing model credit risk Newton-Raphson iterative algorithm Richardson extrapolation method

作者: Yulian Fan Guodong Li Meng Zhang

作者单位: School of Science,North China University of Technology,100144，Beijing,China School of Finance,Central University of Finance and Economics,100081 Beijing,China

会议类型: 国际会议

会议名称: The Third International Conference on Business Intelligence and Financial Engineering(第三届商务智能与金融工程国际会议 BIFE 2010)

会议地点: 香港

会议语种:英文

页码: 359-363

在线出版日期: 2010-08-17（万方平台首次上网日期，不代表论文的发表时间）