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摘要翻译：
我们将VASI\V{c}ek贷款组合模型推广到负债随机波动且资产价值可能受到系统跳变风险的情形。导出了均匀投资组合的百分比损失的概率分布，并分析了其性质。我们发现，债务风险的影响是模糊的，并取决于持续的总因子与资产负债率以及违约强度之间的相关性。我们还发现，系统跳跃风险对损失分布的上百分位数有显著影响，因此，对VaR测度和预期缺口都有显著影响。
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英文标题：
《A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump
Risk》
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作者：
Luis H. R. Alvarez, Jani Sainio
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最新提交年份：
2010
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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
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英文摘要：
We extend the Vasi\v{c}ek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and analyze its properties. We find that the impact of liability risk is ambiguous and depends on the correlation between the continuous aggregate factor and the asset-liability ratio as well as on the default intensity. We also find that systemic jump risk has a significant impact on the upper percentiles of the loss distribution and, therefore, on both the VaR-measure as well as on the expected shortfall.
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PDF链接：
https://arxiv.org/pdf/1006.0863
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