基于拓扑结构的违约传染问题研究
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- 论文作者：韩璐
- 年：2016
- 作者机构：中央财经大学管理科学与工程学院;
- 论文关键词：违约传染 ; 小世界网络 ; 违约相依 ; Copula
- 英文论文关键词：Default contagion ; Small world network ; Default correlation ; Copula
- 会议召开时间：2016-07-26
- 会议录名称：第十四届中国不确定系统年会、第十八届中国青年信息与管理学者大会论文集
- 语种：中文
- 分类号：F832.51;F275
- 学会代码：QHIS
- 会议名称：第十四届中国不确定系统年会第十八届中国青年信息与管理学者大会
- 会议地点：中国陕西渭南
- 主办单位：中国运筹学会不确定系统分会
- 学会名称：清华大学数学科学系
- 页数：9
- 文件大小：459k
- 原文格式：D
- 会议级别：全国
摘要
由于现代企业之间日益密切的相互关联,而产生了一个企业的财务不景气传染给关联经济伙伴的情况的发生,这种现象被定义为违约传染。在学术研究中,违约传染通常使用违约相依度刻画。本文从违约相依度的Copula度量方法出发,通过定量分析研究我国上市公司的违约相依度,进而通过仿真,探索上市公司违约相依的相关性质。通过研究可以发现,我国上市公司的违约相依度呈现出明显的小世界网络特性,即高聚簇,短路径。核心公司的违约问题一旦出现,就可以通过金融市场的网络扩散效应,迅速传染给另一家公司。因此,本研究可以为大面积违约事件防控的机制设计提供一定理论依据。
Due to the increasingly close correlation between modern enterprises, one enterprise's financial downturn will spread to its economic partners, this phenomenon is defined as the default contagion. In academic research, default contagion is usually described by default dependency. This paper gives the computation of the default dependency of listed companies in our country with Copula, and through quantitative analysis of the default dependence, we explore the default correlation degree of listed companies through the simulation method. From the research, we can find that default correlation of listed companies inChina presents the remarkable characteristics of small world network, which is high cluster and short path length, so once the default of core company occurs, it will spread to another quickly. Therefore, this research can provide a theoretical basis for mechanism design to prevent large events of default.
Due to the increasingly close correlation between modern enterprises, one enterprise's financial downturn will spread to its economic partners, this phenomenon is defined as the default contagion. In academic research, default contagion is usually described by default dependency. This paper gives the computation of the default dependency of listed companies in our country with Copula, and through quantitative analysis of the default dependence, we explore the default correlation degree of listed companies through the simulation method. From the research, we can find that default correlation of listed companies inChina presents the remarkable characteristics of small world network, which is high cluster and short path length, so once the default of core company occurs, it will spread to another quickly. Therefore, this research can provide a theoretical basis for mechanism design to prevent large events of default.
引文
[1]Davis M.,Lo V..Infectious defaults[J].Quantitative Finance,2001,(1):382-387.
[2]Allen F.,Gale D..Financial contagion[J].Journal of Political Economy,2000,(108):1-33.
[3]Schonbucher P..Information driven default contagion[Z].Working paper,2003.
[4]Lucas D.J..Default correlation and credit analysis[J].Journal of Fixed Income,1995,4(4):76-87.
[5]Kealhofer S..Portfolio management of default risk[Z].KMV Corp.,Working paper,1998.
[6]Hull J.C.,White A..Valuing credit default swaps:No counterparty default risk[J].Journal of Derivatives,2000,8(1):29-40.
[7]Zhou C..An analysis of default correlation and multiple defaults[J].Review of Financial Studies,2001,14(2):555-576.
[8]Embrechts P.,Lindskog F.and Mc Neil A..Modeling dependence with copulas and applications to risk management[Z].ETZH Zurich,Department of Mathmatics,Working paper,2001.
[9]Li D.X..On default correlation:a copula function approach[J].Journal of Fixed Income,2000,9:43-54.
[10]Mashal R.,Naldi M..Extreme events and default baskets[M].In Credit Risk Modeling.Great Britain:Risk Waters Group,2003:243-248.
[11]Giesecke K..Correlated default with incomplete information[J].Journal of Banking and Finance,2004,7:1521-1545.
[12]Wong D..Copula from the limit of multivariate binary model[Z].Bank of America Corporation,Quantitative Finance,Working paper,2000.
[13]Yamai Y.,Yoshiba T..Comparative analyses of expected shortfall and Value-at-Risk:their estimation error,decomposition,and optimization[J].Monetary and Economic Studies,2002,20(1):87-121.
[14]Frey R.,Mc Neil A.J..Dependent defaults in models of portfolio credit risk[J].Journal of Risk,2002,6(1):59-92.
[15]韩平,席酉民.违约相关性分析[J].统计研究,2001,5:52-56.
[16]刘玉刚,王元月,曹圣山.信用风险中的违约相关性及其特征分析[J].中国管理科学,2003,11:259-262.
[17]何海鹰.基于Copula理论的信用风险研究[D].厦门:厦门大学博士学位论文,2009.
[18]朱世武.基于Copula函数度量违约相关性[J].统计研究,2005,4:61-64.
[19]李建伦,方兆本,鲁炜等.Copula方法与相依违约研究[J].运筹与管理,2005,6(3):111-116.
[20]冯谦.信用风险测度与信用衍生品定价--Copula函数的非参数估计与应用[D].上海:上海交通大学博士学位论文,2006.
[21]邵克雄,郭斌,曾勇.中国上市公司违约相关性度量方法研究[C].和谐发展与系统工程--中国系统工程学会第十五届年会论文集,2008:396-404.
[22]张根明,陈晓红.相依违约的违约风险度量研究及其在上市公司中的应用[J].系统工程,2008,26(5):61-67.
[23]王倩,Hartmannwendels T..信用违约风险传染建模[J].金融研究,2008,(10):162-173.
[2]Allen F.,Gale D..Financial contagion[J].Journal of Political Economy,2000,(108):1-33.
[3]Schonbucher P..Information driven default contagion[Z].Working paper,2003.
[4]Lucas D.J..Default correlation and credit analysis[J].Journal of Fixed Income,1995,4(4):76-87.
[5]Kealhofer S..Portfolio management of default risk[Z].KMV Corp.,Working paper,1998.
[6]Hull J.C.,White A..Valuing credit default swaps:No counterparty default risk[J].Journal of Derivatives,2000,8(1):29-40.
[7]Zhou C..An analysis of default correlation and multiple defaults[J].Review of Financial Studies,2001,14(2):555-576.
[8]Embrechts P.,Lindskog F.and Mc Neil A..Modeling dependence with copulas and applications to risk management[Z].ETZH Zurich,Department of Mathmatics,Working paper,2001.
[9]Li D.X..On default correlation:a copula function approach[J].Journal of Fixed Income,2000,9:43-54.
[10]Mashal R.,Naldi M..Extreme events and default baskets[M].In Credit Risk Modeling.Great Britain:Risk Waters Group,2003:243-248.
[11]Giesecke K..Correlated default with incomplete information[J].Journal of Banking and Finance,2004,7:1521-1545.
[12]Wong D..Copula from the limit of multivariate binary model[Z].Bank of America Corporation,Quantitative Finance,Working paper,2000.
[13]Yamai Y.,Yoshiba T..Comparative analyses of expected shortfall and Value-at-Risk:their estimation error,decomposition,and optimization[J].Monetary and Economic Studies,2002,20(1):87-121.
[14]Frey R.,Mc Neil A.J..Dependent defaults in models of portfolio credit risk[J].Journal of Risk,2002,6(1):59-92.
[15]韩平,席酉民.违约相关性分析[J].统计研究,2001,5:52-56.
[16]刘玉刚,王元月,曹圣山.信用风险中的违约相关性及其特征分析[J].中国管理科学,2003,11:259-262.
[17]何海鹰.基于Copula理论的信用风险研究[D].厦门:厦门大学博士学位论文,2009.
[18]朱世武.基于Copula函数度量违约相关性[J].统计研究,2005,4:61-64.
[19]李建伦,方兆本,鲁炜等.Copula方法与相依违约研究[J].运筹与管理,2005,6(3):111-116.
[20]冯谦.信用风险测度与信用衍生品定价--Copula函数的非参数估计与应用[D].上海:上海交通大学博士学位论文,2006.
[21]邵克雄,郭斌,曾勇.中国上市公司违约相关性度量方法研究[C].和谐发展与系统工程--中国系统工程学会第十五届年会论文集,2008:396-404.
[22]张根明,陈晓红.相依违约的违约风险度量研究及其在上市公司中的应用[J].系统工程,2008,26(5):61-67.
[23]王倩,Hartmannwendels T..信用违约风险传染建模[J].金融研究,2008,(10):162-173.