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金融市场信用风险的传染和蔓延,直接影响金融市场的健康稳定发展;建立信用风险传染模型,把握信用风险传染规律,有利于实现对金融市场的有效监管。基于现有针对信用风险传染的研究成果,利用滤子理论,构建了具有信用违约序列特征和信用违约时间概率密度及其分布函数结构的信用风险传染模型,由此得到公司条件生存概率分布函数;在此基础上,通过引入一个二维Gumbel Copula函数,对公司条件生存概率分布的影响因素进行仿真实验及对比分析。研究结果表明:信用违约的相关性、序列性以及信用违约强度都对信用风险的传染效应和公司的条件生存概率影响显著。
The contagion and spread of credit risk in financial markets have a direct impact on the healthy and stable development of financial markets. Establishing a model of credit risk contagion and grasping the law of credit risk contagion will help to effectively regulate financial markets. Based on the existing researches on credit risk contagion, a credit risk contagion model with credit default sequence characteristics and credit default probability density and its distribution function structure is constructed based on the filter theory, and the conditional probability distribution function of the company is obtained. On this basis, by introducing a two-dimensional Gumbel Copula function, the influence factors of the conditional probability distribution of the company are simulated and compared. The results show that the relevance and sequence of credit defaults and the intensity of credit defaults have a significant impact on the contagion effect of credit risk and the conditional survival probability of the company.