Study on credit risk contagion model based on filter theory

Qun Yao Yin; Ting Qiang Chen; Jian Min He; Ya Li Wu

doi:10.1109/ICMSE.2012.6414183

Study on credit risk contagion model based on filter theory

Qun Yao Yin, Ting Qiang Chen, Jian Min He, Ya Li Wu

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

By using filter theory, we propose a credit risk contagion model with the features of credit default sequence, the structure of probability density of credit default time and the distribution function of company's conditional survival probability. By introducing a two-dimensional Gumbel Copula function, we carry out simulation experiment and comparative analysis of the influencing factor of the company's conditional survival probability distribution. We find that the impact of the sequentiality, correlation and intensity of credit defaults on the contagion effect of credit risk and the company's survival probability is significant.

Original language	English
Title of host publication	2012 International Conference on Management Science and Engineering, ICMSE 2012 - 19th Annual Conference Proceedings
Pages	200-205
Number of pages	6
DOIs	https://doi.org/10.1109/ICMSE.2012.6414183
State	Published - 2012
Externally published	Yes
Event	2012 19th Annual International Conference on Management Science and Engineering, ICMSE 2012 - Dallas, TX, United States Duration: 20 Sep 2012 → 22 Sep 2012

Publication series

Name	International Conference on Management Science and Engineering - Annual Conference Proceedings
ISSN (Print)	2155-1847

Conference

Conference	2012 19th Annual International Conference on Management Science and Engineering, ICMSE 2012
Country/Territory	United States
City	Dallas, TX
Period	20/09/12 → 22/09/12

Keywords

Gumbel Copula functions
conditional survival probability
credit risk contagion model
simulation experiment

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10.1109/ICMSE.2012.6414183

Cite this

Yin, Q. Y., Chen, T. Q., He, J. M., & Wu, Y. L. (2012). Study on credit risk contagion model based on filter theory. In 2012 International Conference on Management Science and Engineering, ICMSE 2012 - 19th Annual Conference Proceedings (pp. 200-205). Article 6414183 (International Conference on Management Science and Engineering - Annual Conference Proceedings). https://doi.org/10.1109/ICMSE.2012.6414183

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title = "Study on credit risk contagion model based on filter theory",

abstract = "By using filter theory, we propose a credit risk contagion model with the features of credit default sequence, the structure of probability density of credit default time and the distribution function of company's conditional survival probability. By introducing a two-dimensional Gumbel Copula function, we carry out simulation experiment and comparative analysis of the influencing factor of the company's conditional survival probability distribution. We find that the impact of the sequentiality, correlation and intensity of credit defaults on the contagion effect of credit risk and the company's survival probability is significant.",

keywords = "Gumbel Copula functions, conditional survival probability, credit risk contagion model, simulation experiment",

author = "Yin, {Qun Yao} and Chen, {Ting Qiang} and He, {Jian Min} and Wu, {Ya Li}",

year = "2012",

doi = "10.1109/ICMSE.2012.6414183",

language = "英语",

isbn = "9781467330145",

series = "International Conference on Management Science and Engineering - Annual Conference Proceedings",

pages = "200--205",

booktitle = "2012 International Conference on Management Science and Engineering, ICMSE 2012 - 19th Annual Conference Proceedings",

note = "2012 19th Annual International Conference on Management Science and Engineering, ICMSE 2012 ; Conference date: 20-09-2012 Through 22-09-2012",

}

Yin, QY, Chen, TQ, He, JM & Wu, YL 2012, Study on credit risk contagion model based on filter theory. in 2012 International Conference on Management Science and Engineering, ICMSE 2012 - 19th Annual Conference Proceedings., 6414183, International Conference on Management Science and Engineering - Annual Conference Proceedings, pp. 200-205, 2012 19th Annual International Conference on Management Science and Engineering, ICMSE 2012, Dallas, TX, United States, 20/09/12. https://doi.org/10.1109/ICMSE.2012.6414183

Study on credit risk contagion model based on filter theory. / Yin, Qun Yao; Chen, Ting Qiang; He, Jian Min et al.
2012 International Conference on Management Science and Engineering, ICMSE 2012 - 19th Annual Conference Proceedings. 2012. p. 200-205 6414183 (International Conference on Management Science and Engineering - Annual Conference Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AB - By using filter theory, we propose a credit risk contagion model with the features of credit default sequence, the structure of probability density of credit default time and the distribution function of company's conditional survival probability. By introducing a two-dimensional Gumbel Copula function, we carry out simulation experiment and comparative analysis of the influencing factor of the company's conditional survival probability distribution. We find that the impact of the sequentiality, correlation and intensity of credit defaults on the contagion effect of credit risk and the company's survival probability is significant.

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Y2 - 20 September 2012 through 22 September 2012

ER -

Study on credit risk contagion model based on filter theory

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