The Changing Shape of Sovereign Default Intensities
The Changing Shape of Sovereign Default Intensities
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DOI：
10.1007/978-3-030-26036-1_14
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发表时间：
2018-09
期刊：
影响因子：
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通讯作者：
Yusho Kagraoka;Z. Moussa
中科院分区：
文献类型：
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作者：
Yusho Kagraoka;Z. Moussa
主权违约强度的期限结构随着时间的推移，随着水平的上升/下降和斜率的陡峭/平缓而演变；默认强度曲线中可能存在驼峰形状，驼峰位置发生变化。因此，默认强度模型应该具有捕获默认强度期限结构中的大多数变化的灵活性。具有时变衰减参数的动态Nelson-Siegel （DNS）模型适合生成这种默认强度曲线。本文研究了具有时变衰减参数的DNS模型对信用违约互换（CDS）价差估计的违约强度。对德国和美国CDS市场进行了实证研究。利用卡尔曼滤波成功估计了模型参数。发现衰减参数随时间变化，衰减参数的大小与违约强度的水平呈正相关。
The term structure of sovereign default intensities evolves over time along with rising/declining levels and steeping/flatting of the slope; a hump shape may exist in the default intensity curve, and the location of the hump changes. Thus, the default intensity model should have the flexibility to capture most of the variations in the term structure of the default intensities. The dynamic Nelson–Siegel (DNS) model with a time-varying decay parameter is appropriate to generate such default intensity curves. The paper studies the default intensities estimated from credit default swap (CDS) spreads by the DNS model with a time-varying decay parameter. Empirical studies were conducted on the German and U.S. CDS markets. The model parameters were successfully estimated using the Kalman filter. It is found that the decay parameters change over time and the magnitude of the decay parameter is positively related to the level of default intensities.