因子Copula模型的相依性和损失
Dependent Defaults and Losses with Factor Copula Models
摘要：
本文提出了一类灵活、易处理的关于联合违约概率期限结构的静态因子模型-因子copula模型。这些高维模型仍然与配对copula结构吝啬，嵌套许多标准模型作为特殊情况。当单个损失离散地支撑在有限网格上时，或有索赔组合的损失分布可以被精确而有效地计算。数值算例研究了影响损失分布和多名称信用衍生品价格的关键特征。一个实证的练习说明了我们的方法的灵活性，通过拟合信用指数份额的价格。
英文摘要：
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our approach by fitting credit index tranche prices.
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