投资组合违约概率的广义脉冲响应：应用于地缘政治风险的模块化框架
Generalized Impulse Responses of Portfolio Default Probabilities: A Modular Framework with an Application to Geopolitical Risk
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中文总结 AI 辅助
该研究构建结合Bayesian VAR、高斯卫星模型与Merton-Vasicek模型的模块化框架，推导投资组合违约概率的广义脉冲响应，发现插件评估低估违约概率、遗漏尾部分位数，且美国地缘政治风险冲击下不同分位数响应及周期峰值存在显著差异。
中文摘要 AI 辅助
信用压力测试不仅需要宏观金融驱动因素，还需要投资组合违约概率的脉冲响应。我们推导了均值、分位数（风险价值下的违约概率，PD-at-Risk）和预期短缺的闭式广义脉冲响应，构建了结合贝叶斯向量自回归（Bayesian VAR）、高斯卫星模型以及巴塞尔内部评级法（Basel IRB）监管基础的默顿-瓦斯西克（Merton-Vasicek）模型的模块化框架。结果可扩展至潜因子的任何概率单位-高斯映射。非线性性使响应依赖于条件均值和方差；插件评估低估了预计违约概率水平6%-8%，且遗漏尾部分位数。针对美国地缘政治风险冲击，99%分位数响应超出均值响应50%，峰值响应在整个信贷周期内变化4.6倍。
英文摘要
Credit stress testing requires impulse responses of portfolio default probabilities, not only macro-financial drivers. We derive closed-form generalized impulse responses for the mean, quantiles (PD-at-Risk), and expected shortfall in a modular framework combining a Bayesian VAR, a Gaussian satellite, and the Merton-Vasicek model underlying Basel IRB regulation. Results extend to any probit-Gaussian mapping of a latent factor. Nonlinearity makes responses depend on conditional means and variances; plug-in evaluations understate projected default probability levels by 6-8% and miss tail quantiles. For U.S. geopolitical risk shocks, 99%-quantile responses exceed mean responses by 50%, and peak responses vary 4.6-fold across the credit cycle.
