摘要
信用风险建模中广泛使用跳跃过程描述违约和等级转移事件,从信用风险的角度研究跳跃过程的基本概念和性质十分必要。泊松过程用来描述一般动态变化,而复合的及广义双重随机泊松过程用来描述非时齐动态变化。相关实例和模拟研究有助于更好的理解信用风险随机过程的特征并正确建模。
In credit risk modeling,jump process is widely used to describe both default and rating transition events,and it is very necessary to study some basic definitions and properties of the jump process from the perspective of credit risk.Poisson process is used to describe common dynamic change,while the compounded and double stochastic Poisson process is used to describe the time-inhomogeneous dynamic change.Relevant examples and simulated studies contribute to better understanding the features of the stochastic processes of credit risk and correct modeling.
出处
《广西财经学院学报》
2012年第1期98-103,共6页
Journal of Guangxi University of Finance and Economics
基金
江西省高校人文社会科学研究规划项目"开放经济下信用风险转移对金融稳定的影响研究"(JJ1138)
