Credit risk modelling and integration of actuarial science and financial risk

信用风险建模以及精算科学和金融风险的整合

• 批准号: 298222-2007
• 负责人: Chen, ChoJieh
• 金额: $ 0.8万
• 依托单位: University of Alberta
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2007
• 资助国家: 加拿大
• 起止时间: 2007-01-01 至 2008-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=366216
• 关键词: Credit; risk; modelling; integration; actuarial

This research proposal presents interdisciplinary projects on the interface of actuarial science, credit risk, mathematics, and statistics. This proposal aims at three major goals:1. Credit risk modelling based on the forward default intensityDuffie and Lando (2001) and Giesecke (2005) show that the structural credit risk model usually does not define an intensity process when the firm value is continuously observable. Chen (2006) refers to this intensity as the instantaneous default intensity and shows that an alternative forward default intensity process does exist when some conditions are satisfied. This proposal intends to develop results on the forwad intensity using different kinds of firm values processes under the complete information system, the incomplete information system, and the asymmetric information system.2. New mathematical methods of the credit spread decompositionTraditional credit risk models usually treat the credit spread as a function of the probability of default and the mean recovery rate. Hull, Predescu, and White (2005) show that the risk premiums demanded by bonds traders include not only the probability of default and the mean recovery rate, but also liquidation risk, non-diversifiable risk, and contagion risk. Hull, Predescu, and White (2005) present this concept while this proposal intends to establish mathematical methods of the credit risk decomposition.  3. Integration of actuarial science and financial riskUnder the Financial Service Act (1999), insurance companies and banks, two originally distinct lines of business, can be combined and operated within one financial institution. Because the Basel II and the new Solvency II will be effective soon, the capital cushion to alleviate future losses, the actuarial liability and the financial minimal capital covering market risk, credit risk, and operational risk, should be evaluated together. Timely research integrating these risks is very important to financial institutions and the financial market.

该研究计划提出了精算学，信用风险，数学和统计学接口的跨学科项目。该提案旨在实现三个主要目标：1.基于远期违约强度的信用风险建模Duffie and Lando（2001）和Giesecke（2005）表明，当公司价值连续可观察时，结构性信用风险模型通常不会定义强度过程。Chen（2006）将这种强度称为瞬时违约强度，并表明当满足某些条件时，确实存在另一种向前违约强度过程。本研究的目的是在完全信息系统、不完全信息系统和不对称信息系统下，利用不同的企业价值过程来研究企业的前瞻性强度.信用利差分解的新数学方法传统的信用风险模型通常将信用利差视为违约概率和平均回收率的函数。船体、Predescu和白色（2005）指出，债券交易者要求的风险溢价不仅包括违约概率和平均回收率，还包括清算风险、不可分散风险和传染风险。船体，Predescu，and白色（2005）提出了这一概念，而本文则试图建立信用风险分解的数学方法。精算学与金融风险的整合根据1999年的《金融服务法》，保险公司和银行这两个原本截然不同的业务部门可以在一个金融机构内合并经营。由于巴塞尔II和新的偿付能力II即将生效，因此，应对缓解未来损失的资本缓冲、精算负债以及涵盖市场风险、信用风险和操作风险的财务最低资本进行评估。及时研究这些风险对金融机构和金融市场都非常重要。