摘要翻译:
线性势中存在位置相关杀伤时的扩散被用来模拟缺省过程。关于运输系数、初始条件和杀伤措施弹性的不同假设导致了不同的破产模型。一个“程式化的事实”是我们考虑的基础:从经验上看,违约是一个相当罕见的事件,尤其是在信用评级的投资级类别中。因此,杀灭作用可以看作是一个小参数。在一些特殊情况下,我们导出了整个期限结构的累积违约概率、违约风险率和违约强度的闭式表达式。与全球公司违约历史数据的比较证实,模型无关扰动法适用于信用评级投资级类别的公司,并允许
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英文标题:
《Default risk modeling beyond the first-passage approximation:
Position-dependent killing》
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作者:
Yuri A. Katz
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最新提交年份:
2011
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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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:
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to diverse models of bankruptcy. One "stylized fact" is fundamental for our consideration: empirically default is a rather rare event, especially in the investment grade categories of credit ratings. Hence, the action of killing may be considered as a small parameter. In a number of special cases we derive closed-form expressions for the entire term structure of the cumulative probability of default, its hazard rate and intensity. Comparison with historical data on global corporate defaults confirms applicability of the model-independent perturbation method for companies in the investment grade categories of credit ratings and allows for
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PDF链接:
https://arxiv.org/pdf/1108.5098