Title :
Study on credit risk contagion model based on filter theory
Author :
Yin Qun-yao ; Chen Ting-qiang ; He Jian-min ; Wu Ya-li
Author_Institution :
Sch. of Econ. & Manage., Southeast Univ., Nanjing, China
Abstract :
By using filter theory, we propose a credit risk contagion model with the features of credit default sequence, the structure of probability density of credit default time and the distribution function of company´s conditional survival probability. By introducing a two-dimensional Gumbel Copula function, we carry out simulation experiment and comparative analysis of the influencing factor of the company´s conditional survival probability distribution. We find that the impact of the sequentiality, correlation and intensity of credit defaults on the contagion effect of credit risk and the company´s survival probability is significant.
Keywords :
filtering theory; finance; risk management; statistical distributions; company conditional survival probability distribution; comparative analysis; credit default sequence; credit default time; credit risk contagion model; distribution function; filter theory; probability density structure; simulation experiment; two-dimensional Gumbel Copula function; Analytical models; Companies; Correlation; Filtering theory; Filtration; Mathematical model; Probability distribution; Gumbel Copula functions; conditional survival probability; credit risk contagion model; simulation experiment;
Conference_Titel :
Management Science and Engineering (ICMSE), 2012 International Conference on
Conference_Location :
Dallas, TX
Print_ISBN :
978-1-4673-3015-2
DOI :
10.1109/ICMSE.2012.6414183
