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    题名: Portfolio Credit Risk Estimation Under The Dynamic Factor Model
    作者: 游智惇;劉惠美;洪明欽
    Yu, Chih-Tun;Liu, Huimei;Hung, Ming-Chin
    贡献者: 統計系
    关键词: Monte Carlo Expectation Maximization algorithm;default probability;asset correlation;dynamic factor model.
    日期: 2011-10
    上传时间: 2014-04-29 09:13:31 (UTC+8)
    摘要: Under the Basel II accord, a single factor model characterizes the regulatory capital calculations and the portfolio credit risk of the internal ratings based approach. However, this model assumes independent and identically distributed common factor which may produce inaccurate estimates of default probabilities and asset correlation. In this paper, we address a dynamic factor model to improve this phenomenon. This model can capture both dynamic behavior of default risk and dependence among individual obligors. We use a Monte Carlo Expectation Maximization (MCEM) algorithm along with a Gibbs sampler and an acceptance methods when estimating the unknown parameters. Moreover, the empirical study using the default data from the Standard and Poor`s shows evidence of profound serial dependence of the default rate in the Standard and Poor`s data.
    關聯: 中國統計學報,49(4),123-139
    数据类型: article
    显示于类别:[統計學系] 期刊論文

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