信用风险模型风险

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英文标题：
《Model risk on credit risk》
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作者：
J. Molins and E. Vives
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最新提交年份：
2015
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英文摘要：
  This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase transitions, potentially leading to systemic credit events which happen unexpectedly and without an underlying single cause. We show the Jungle model provides the optimal probability distribution for credit losses, under some reasonable empirical constraints. The Dandelion model, a particular case of the Jungle model, is presented, motivated and exactly solved. The Dandelion model provides an explicit example of doubly-peaked probability distribution for the credit losses. The Diamond model, another instance of the Jungle model, experiences the so called quasi phase transitions; in particular, both the U.S. subprime and the European sovereign crises are shown to be potential examples of quasi phase transitions. We argue the three known sources of default clustering (contagion, macroeconomic risk factors and frailty) can be understood under the unifying framework of contagion. We suggest how the Jungle model is able to explain a series of empirical stylized facts in credit portfolios, hard to reconcile by some standard credit portfolio models. We show the Jungle model can handle inhomogeneous portfolios with state-dependent recovery rates. We look at model risk in a credit risk framework under the Jungle model, especially in relation to systemic risks posed by doubly-peaked distributions and quasi phase transitions.
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中文摘要：
本文在信贷组合框架下建立了丛林模型。丛林模型能够模拟信贷传染，产生总违约损失的双峰概率分布，并内生产生准相变，可能导致系统性信贷事件意外发生，且没有潜在的单一原因。我们证明了丛林模型在一些合理的经验约束下提供了信贷损失的最优概率分布。Dandelion模型是丛林模型的一个特例，它被提出、激发并精确求解。Dandelion模型为信贷损失的双峰概率分布提供了一个明确的例子。钻石模型，丛林模型的另一个例子，经历了所谓的准相变；特别是，美国次贷危机和欧洲主权危机都是准相变的潜在例子。我们认为，违约集群的三个已知来源（传染、宏观经济风险因素和脆弱性）可以在传染的统一框架下理解。我们建议，丛林模型如何能够解释信贷组合中的一系列经验风格化事实，这些事实很难被一些标准的信贷组合模型所调和。我们证明了Jungle模型可以处理具有状态依赖回收率的非齐次投资组合。我们在丛林模型下的信贷风险框架中研究模型风险，尤其是与双峰分布和准相变构成的系统性风险相关的风险。
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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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一级分类：Physics        物理学
二级分类：Statistical Mechanics        统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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关键词：信用风险 风险模型 distribution Endogenously Quantitative