Title :
A Copula Method for Correlation of Credit Rating Migration
Author :
Xu, Xiaosi ; Chen, Ying ; Zheng, Jun
Author_Institution :
Sch. of Manage., North China Coal Med. Univ., Tangshan, China
Abstract :
How to monitor the changes of obligatorspsila 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&Ppsilas data by t-copula, the results show that it is very important of correlation for studying credit rating migration in credit risk management.
Keywords :
correlation theory; finance; matrix algebra; risk management; statistical distributions; copula method; correlation technique; credit rating migration; credit risk management; joint distribution function; margin distribution function; migration rating matrix; subprime mortgage loan crisis; Conference management; Crisis management; Distributed computing; Distribution functions; Engineering management; Financial management; Loans and mortgages; Random variables; Risk management; Time measurement; Credit risk; copula function; correlation; rating migration;
Conference_Titel :
Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-0-7695-3705-4
DOI :
10.1109/BIFE.2009.176
