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信贷组合中两组相关性的联合度量研究——违约相关性和信用风险与利率风险相关性 被引量：1

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摘要 信用风险是商业银行的主要风险,违约相关性是组合信用风险度量中的核心问题。另一方面,在利率市场化深入的进程中,利率风险对商业银行的影响愈加显现。已有实证证据表明,在商业周期的各个阶段,利率风险与信用风险总是呈现负向的相关性。本文的研究认为,应当在统一的框架内对两组相关性——违约相关性和信用风险与利率风险相关性进行联合度量。文章在比较和评述当前度量违约相关性的主流方法——因素模型的基础上,提出了借助于宏观经济计量模型进行联合度量的方法。
作者 刘小莉
机构地区 复旦大学金融研究院
出处 《生产力研究》 CSSCI 北大核心 2006年第7期85-87,共3页 Productivity Research
关键词 违约相关性 因素模型 信用风险与利率风险相关性 宏观经济计量模型
分类号 F830.5 [经济管理—金融学]
  • 相关文献

参考文献6

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二级参考文献8

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共引文献24

同被引文献16

  • 1Giovanni Dell' Ariccia, Robert MaRquez. Risk and The Corporate Structure of Banks[J]. The Journal of Finance, 2010, 65(3): 1075-1096.
  • 2Hartmann. Interaction of Market and Credit Risk [J]. Journal of Banking and Finance, 2010, 34(4): 697-702.
  • 3Altunbas, L Gambacorta, D Marques. Dose Mone- tary Policy Affect Bank Risk [R]. Working Paper, 2012.
  • 4Taylor JB. The Monetary Transmission Mechanism: An Empirical Framework [J]. The Journal of Eco- nomic Perspectives, 1995, 9(4) :11-26.
  • 5Hasan I, A Siddique , S Xian. Characterizing The In- teraction of Market, Credit and Interest Rate Risks: What The Financial Markets Say Versus What The Banks Report to The Regulators [R]. Working Pa- per, 2009.
  • 6Roberta Fiori, Simonetta Lannotti. On the Interac- tion Between Market and Credit Risk: A Factor- Augmented Vetor Autoregressive Approach [ R]. Working Paper, 2010.
  • 7L6pez M, F Tenjo, H Zdrate. The Risk-Taking Channel and Monetary Transmission Mechanism in Colombia [Z]. A Presentation Prepared for the 2nd BIS CCA Conference on" Monetary Policy, Finan- cial Stability and the Business Cycle", Ottawa, 2011, (5) :12-13.
  • 8Bernank B, J Boivin, P S Eliasz. Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive Approach [ R ]. NBER Working Papers, 2004 : 10220.
  • 9Bernank B, J Boivin, P S Eliasz. Measuring The Effects of Monetary Policy: A Factor- Augmented Vector Autoregressive Approach[J]. The Quarterly Journal of Economics, MIT Press, 2005, 120 (1) : 387-422.
  • 10Sandra Eickmeier, Wolfgang Lemke, Massimiliano Marcellino. Classical Time-varying FAVAR Mod- els Estimation, Forecasting and Structural Analysis [R]. Working Paper, 2011.

引证文献1

二级引证文献6

生产力研究
2006年 第7期

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