Credit Risk Illustrated under Coupled diffusions

• Main Authors: Po-Heng Kuo, 郭柏亨
• Other Authors: Li-Hsien Sun
• Format: Others
• Language: en_US
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/5xc53q

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