英文标题：
《Credit risk: Taking fluctuating asset correlations into account》
---
作者：
Thilo A. Schmitt and Rudi Sch\\\"afer and Thomas Guhr
---
最新提交年份：
2016
---
英文摘要：
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with empirical data. At the same time, it is desirable to still preserve some analytical tractability. We achieve both goals by putting forward an ensemble approach for the asset correlations. Consistently with the data, we view them as fluctuating quantities, for which we may choose the average correlation as homogeneous. Thereby we can reduce the number of parameters to two, the average correlation between assets and the strength of the fluctuations around this average value. Yet, the resulting asset value distribution describes the empirical data well. This allows us to derive the distribution of credit portfolio losses. With Monte-Carlo simulations for the Value at Risk and Expected Tail Loss we validate the assumptions of our approach and demonstrate the necessity of taking fluctuating correlations into account.
---
中文摘要：
在结构性信用风险模型中，违约事件和随之而来的损失都来自到期时的资产价值。因此，为这些资产价值选择符合经验数据的分布至关重要。同时，仍需保持一定的分析可处理性。我们通过提出资产相关性的集成方法来实现这两个目标。与数据一致，我们将其视为波动量，因此我们可以选择平均相关性作为齐次相关性。因此，我们可以将参数的数量减少到两个，即资产之间的平均相关性和围绕该平均值的波动强度。然而，由此产生的资产价值分布很好地描述了经验数据。这使我们能够得出信贷组合损失的分布。通过对风险价值和预期尾部损失的蒙特卡罗模拟，我们验证了我们方法的假设，并证明了考虑波动相关性的必要性。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->