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在Copula函数的尾部相关性研究的基础上,针对其不足进行了两个方面的推广:1)一个变量趋于某个非尾部值与另一变量趋于尾部的相关系数;2)两个变量都趋于非尾部值之间的相关系数.传统的尾部相关系数可用于考察证券价值或企业价值之间在尾部的正相关关系或负相关关系,上述推广可进一步用于考察一个企业处于违约边界或某个状态对其他企业违约可能性的影响,及两个证券或企业的价值均趋于某些特定值之间的相关关系.进一步给出了上述推广的相关系数在证券或企业价值处于某些区间条件下的期望值及其计算方法.这些工作从理论和实证两个方面丰富与刻画了相关系数的渐进变化特征.
Based on the study of the tail correlation of the Copula function, two aspects of the deficiencies are generalized: 1) the correlation coefficient between one non-tail value and the other tail tends to the tail; 2) Both tend to the correlation coefficient between non-tail values.The traditional tail correlation coefficient can be used to examine the positive or negative correlation between the value of the securities or the value of the enterprise at the tail, and the above promotion can be further used to examine whether an enterprise is at the default boundary Or the impact of a certain state on the default probability of other enterprises and the relationship between the value of two securities or enterprises tend to some specific value.Further gives the correlation coefficient of the above promotion in the securities or enterprise value in a Expectation values under some interval conditions and their calculation methods.These work enrich and characterize the gradual change characteristics of correlation coefficient from two aspects of theory and demonstration.