Credit Risk Illustrated under Coupled diffusions
碩士 === 國立中央大學 === 統計研究所 === 104 === In this paper, we introduce a model to analyze credit risk where the log-monetary reserves are driven by the coupled diffusions. The default is described as the assets of firm less than the book value of the liabilities in the maturity time T. In the different mea...
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ndltd-TW-104NCU053370032019-10-24T05:19:24Z http://ndltd.ncl.edu.tw/handle/5xc53q Credit Risk Illustrated under Coupled diffusions Po-Heng Kuo 郭柏亨 碩士 國立中央大學 統計研究所 104 In this paper, we introduce a model to analyze credit risk where the log-monetary reserves are driven by the coupled diffusions. The default is described as the assets of firm less than the book value of the liabilities in the maturity time T. In the different measure, the Merton’s model has a different presentation. In the empirical study, we use the Maximum Likelihood technique to estimate the parameters of the coupled diffusions, and analyze the systemic risk of the firms. Compared to the KMV-Merton model, the joint default probability given by the coupled diffusions is seen as a rare event treated as systemic risk. keywords: default, credit risk, systemic risk, KMV-Merton model, coupled diffusion model Li-Hsien Sun 孫立憲 2016 學位論文 ; thesis 53 en_US |
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碩士 === 國立中央大學 === 統計研究所 === 104 === In this paper, we introduce a model to analyze credit risk where the log-monetary reserves
are driven by the coupled diffusions. The default is described as the assets of firm less
than the book value of the liabilities in the maturity time T. In the different measure, the
Merton’s model has a different presentation. In the empirical study, we use the Maximum
Likelihood technique to estimate the parameters of the coupled diffusions, and analyze
the systemic risk of the firms. Compared to the KMV-Merton model, the joint default
probability given by the coupled diffusions is seen as a rare event treated as systemic risk.
keywords: default, credit risk, systemic risk, KMV-Merton model, coupled
diffusion model
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author2 |
Li-Hsien Sun |
author_facet |
Li-Hsien Sun Po-Heng Kuo 郭柏亨 |
author |
Po-Heng Kuo 郭柏亨 |
spellingShingle |
Po-Heng Kuo 郭柏亨 Credit Risk Illustrated under Coupled diffusions |
author_sort |
Po-Heng Kuo |
title |
Credit Risk Illustrated under Coupled diffusions |
title_short |
Credit Risk Illustrated under Coupled diffusions |
title_full |
Credit Risk Illustrated under Coupled diffusions |
title_fullStr |
Credit Risk Illustrated under Coupled diffusions |
title_full_unstemmed |
Credit Risk Illustrated under Coupled diffusions |
title_sort |
credit risk illustrated under coupled diffusions |
publishDate |
2016 |
url |
http://ndltd.ncl.edu.tw/handle/5xc53q |
work_keys_str_mv |
AT pohengkuo creditriskillustratedundercoupleddiffusions AT guōbǎihēng creditriskillustratedundercoupleddiffusions |
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