دانلود مقاله ISI انگلیسی شماره 48092
ترجمه فارسی عنوان مقاله

برآورد همبستگی در مدل ریسک اعتباری پرتفوی بر اساس قیمت امنیتی اختلال زا

عنوان انگلیسی
Estimation of correlations in portfolio credit risk models based on noisy security prices
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
48092 2015 16 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Economic Dynamics and Control, Volume 61, December 2015, Pages 334–349

ترجمه کلمات کلیدی
ریسک اعتباری - ارتباط - برآورد - اختلال - حداکثر احتمال - فیلتر کالمن (UKF)
کلمات کلیدی انگلیسی
C13; C18; C51; C58Credit risk; Correlation; Estimation; Noise; Maximum likelihood; Unscented Kalman filter (UKF)
پیش نمایش مقاله
پیش نمایش مقاله  برآورد همبستگی در مدل ریسک اعتباری پرتفوی بر اساس قیمت امنیتی اختلال زا

چکیده انگلیسی

Portfolio credit risk models are very often constructed with correlation matrices serving as proxies for interrelations in the creditworthiness of each company. In addition to the size of the matrix, estimation of correlation is also complicated by the fact that defaults are rare and credit-sensitive securities such as stocks, bonds and credit default swaps (CDS) are noisy. Therefore, we present in this paper an estimation approach based on credit-sensitive instruments that accounts for noise and is highly parallelizable, the latter being a very important feature for large portfolios in finance. A simulation study shows that the method is reliable and has better statistical properties when benchmarked against other correlation estimators. In an empirical study based on the CDS premiums and stock prices of 225 firms listed on the CDX North American indices, we analyze the correlations computed using numerous approaches. Overall, we find that ignoring noise severely underestimates correlations, whereas equity correlation is poorly related to the best correlation estimates inferred from the CDS market.