基于copula理论的c某o信用风险分析

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1、ABSTRACTABSTRACTCollateralizedDebtObligationisoneofcreditderivativeswithrapiddevelopment，whichplayedanimportantroleinfinancialcrisis．CDOisthefinancialinnovationstotransferoravoidcreditrisk，butitmagnifiedthecreditriskduetobad．performingun．derlyingassets．Creditriskreflectedtheeffe

2、ctofdouble-edgedswordinfinancialcrisisHowtoreducingcreditriskfromfinancialinnovationsisamajortaskwearefacing．SinceCDOisalleffectivetooltotransfercreditrisk，researchesonitscreditriskarerepresentative，andalsohavegreatsignificancetoimprovethecreditriskmanagementsystemoffinancialmar

3、ket．HowtomeasuredefaultriskanddefaultcorrelationisthekeyproblemofCDOcreditriskanaylize．Firstly,weexplaintheconceptofthecreditriskofCDOandsum—marizethemodelaboutcreditrisksystematically．Secondly,wediscussthetwoessen-tialproblemswhicharethedistributionofthedefaulttimeofthecreditas

4、setandthequantificationofthedefaultcorrelationincreditassetportfolio．Ontheonehand，whentheassetvalueisGeometricBrownianmotion，continuousdiffusionprocessandjumpdiffusionprocess，weresearchthedistributionofthedefaulttimeandthedefaultprob—ability；ontheotherhand，weapplythePairCopulawe

5、ighingthedependencebetweendefaulttimesincreditportfoliotomakeupfortheshortcomingsofhighdimensionCop-ulawhichcan’tcapturethedifferencebetweentaildependence．Afterthecoreproblemsolved，wemaketheempiricalanalysisabouttheCLOinOurcountry,whichverifythefeasibilityofapplyingPairCopulatos

6、tructurethedefaultdependence．Keywords：creditrisk，PairCopula，defaultcorrelation，creditspread111目录第1章绪论．⋯．．．⋯．⋯．．．⋯．⋯．．⋯．．⋯．．．⋯．．．．．．．．．．⋯．11．1选题背景及意义⋯⋯．⋯⋯⋯，⋯⋯⋯⋯⋯⋯．⋯⋯⋯．11．2相关概念⋯．．．．．．．．．．．．．．．．．．．．．．．．。，．．．．．⋯．．．．．．．．．．．．．．．11．2．1信用风险⋯⋯⋯⋯．⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．。11．2．2CDO的信』!西风险．．．．．．．．．．．．．

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