Title :
Modeling Portfolio Credit Risks Using Accelerated Hazard Rates
Author :
Zhang, Lun ; Li, Jinlin ; Ran, Lun
Author_Institution :
Sch. of Manage. & Econ., Beijing Inst. of Technol., Beijing
Abstract :
In recent years, credit risk has played a key role in risk management issues. This paper accesses portfolio credit risk by using accelerated hazard rates. It explains how the concept of accelerated hazard rates, which used in reliability engineering, can be employed in finance to model credit risk, so as to link the default probabilities to the underlying macroeconomic and firm- specific factors.
Keywords :
economic indicators; finance; macroeconomics; probability; reliability theory; risk management; accelerated hazard rates; default probability; finance; firm-specific factors; macroeconomic factors; portfolio credit risks; reliability engineering; risk management; Acceleration; Econometrics; Finance; Hazards; Macroeconomics; Portfolios; Reliability engineering; Risk analysis; Risk management; Technology management;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
DOI :
10.1109/WiCom.2008.2294