跳跃模型中信用风险管理的预防措施
Precautionary Measures for Credit Risk Management in Jump Models
摘要：
通过合理控制资本资产比率来保持效率和稳定性是银行管理中最重要也是最困难的挑战之一。由于资产价值的意外和突然下降，银行必须密切关注其净值以及市场状况，其重要关注点之一是何时筹集更多资本，以免违反资本充足率要求。在本文中，我们建立了避免延迟成本和过早融资之间的权衡模型，并解决了相应的最优停时问题。为了对银行贷款/信贷业务投资组合中的违约进行建模，我们用Levy过程表示其净资产，并显式求解双指数跳跃扩散过程和一般谱负Levy过程。
英文摘要：
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely monitor its net worth as well as market conditions, and one of its important concerns is when to raise more capital so as not to violate capital adequacy requirements. In this paper, we model the tradeoff between avoiding costs of delay and premature capital raising, and solve the corresponding optimal stopping problem. In order to model defaults in a bank's loan/credit business portfolios, we represent its net worth by Levy processes, and solve explicitly for the double exponential jump diffusion process and for a general spectrally negative Levy process.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
