跳跃-扩散模型框架下基于鞍点近似的信用组合一致性风险度量

来源 :系统工程理论与实践 | 被引量 : 0次 | 上传用户：dfgh45h4

【摘要】

：

在债务人资产价值的跳跃-扩散模型框架下,应用鞍点近似方法计算了信用组合损失的概率分布,并以算例具体说明了计算过程,得出了信用组合风险的VaR量度和一致性量度ES.然后,将

【作者】

：

詹原瑞刘久彪

【机构】

：

天津大学

【出处】

：

系统工程理论与实践

【发表日期】

：

2004年期

【关键词】

：

信用组合一致性风险量度鞍点近似期望短缺(ES)

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在债务人资产价值的跳跃-扩散模型框架下,应用鞍点近似方法计算了信用组合损失的概率分布,并以算例具体说明了计算过程,得出了信用组合风险的VaR量度和一致性量度ES.然后,将鞍点近似方法得出的损失分布与蒙特卡罗模拟得出的结果相比较,得出了对于要求精度较高、资产数目较多的信用组合,基于鞍点近似方法计算一致性风险量度是信用风险管理的合适方法的结论.

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跳跃-扩散模型框架下基于鞍点近似的信用组合一致性风险度量

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