基于极值理论的行业信用风险尾部相关分析

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1、AbstractDependenceanalysisisthekeytoriskmanagementofcreditportfolio．Westemcommercialbankswidelyagreethattheessenceofindustrialcreditriskisindustrialcentralizedcreditrisk,thusthecentralpartofindustrialcreditriskmanagementisdecentralization．Inordertodothis，aneffectiveandprecis

2、eanalysisofdependencestructurebetweenindustrialcreditrisksisnecessary．ThroughthestudyOntheactualityandacademicachievementofcreditriskmanagementandindustrialcreditriskmanagementinandoutofthecountry,itisfoundthat．there’∞someflawsinthesuppositionsofthecreditportfolioriskassessm

3、entmodelforexample，normaldistributionandindependenceofthevariables．Thesewrongsuppositionswouldleadtomisevaluationofjointdefaultrisk,andweakentheefficiencyofriskmanagementofbanks．Andthestudyonthepopularmeasuresofdependenceanalysisofcreditportfolioriskshowsthat，ononehand，mosto

4、fthedependencemeasuresforcreditportfolioriskbaseOnmultivariatenormaldistributionwhichisnottrueintherealworld．Ontheotherhand，thelinearcorrelationmeasureswhichareappliedintheanalysisofthedependenceofcreditportfolioriskarenotsuitablefortaildata．Respondingtotheissuesarisingfromt

5、hestudyabove,thispaperintroducesadependencemeasureforbivariateextremetOidentifytheformandsizeoftaildependence．Thisdependencemeasureforbivariateextremeprovidesmorepreciseestimationandpredictionresultthantraditionaldependencemeasures,asitfocusesOnandtakesfulladvantageoftaildat

6、a．Thispaperiscomposedofsevenchapters．TheChapterTwoanalysestheactualityandacademicachievementofcreditriskmanagementandindustrialcreditriskmanagementinandoutofthecountry．TheChapterThreeintroducestheextremevaluetheoriesandtheirapplicationsontheestimationofreturnonassets．TheChap

7、terFourintroducesthedependencemeasureforbivariateextreme．andtheestablishmentnonparametricestimationforasymptoticdependencexasymptoticindependencex．TheChapterHveintroducesadataprocessingmethodGARCHfiltertoobtainresidualsfromGARCHthroughtheuscofwhichwouldimprovetheefficiencyof

8、thedependencemeasureintroducedinChapterFour．TheChapterSixisanempiricalstudy