主题：Default Correlations and
Large-Portfolio Credit Analysis（违约相关性与信用资产分析）
主讲人：Jin-Chuan Duan（段锦泉），新加坡国立大学金融学教授
日期：2015年9月2日（周三）
时间：下午2:00-3:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
A
factor model with sparsely correlated residuals is used to model short-term
probabilities of default and other corporate exits while permitting missing
data, and serves as the basis for generating default correlations. This novel
factor model can then be used to produce portfolio credit risk profiles
(default-rate and portfolio-loss distributions) by complementing an existing
credit portfolio aggregation method with a novel simulation-convolution
algorithm. We apply the model and portfolio aggregation method on a global
sample of 40,560 exchange-listed firms and focus on three large portfolios (the
US, Eurozone-12 and ASEAN-5). Our results reaffirm the critical importance of
default correlations. With default correlations, both default-rate and
portfolio-loss distributions become far more right-skewed, reflecting a much
higher likelihood of defaulting together. Our results also reveal that
portfolio credit risk profiles evaluated at two different time points can
change drastically with moving economic conditions, suggesting the importance
of modelling credit risks with a dynamic system. Our factor model coupled with
the aggregation algorithm provides a useful tool for active credit portfolio
management.
主讲人简介 :
Jin-Chuan Duan is Professor of Finance at Business
School, National University of Singapore. Prof. Duan received a MSc and Ph. D in
Finance from University of Wisconsin. His research interests are credit
risk, banking and insurance, financial econometrics and risk management. Prior
to joining the NUS, Duan was the Professor of Finance & Manulife Chair in
Financial Svcs, University of Toronto. His papers have appeared in Journal of Business & Economic Statistics, Management
Science, and Journal of Banking
and Finance and other leading finance journals.
