Credit risk modelling and integration of actuarial science and financial risk

该研究计划提出了精算科学、信用风险、数学和统计学交叉学科的项目。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模型Duffie 和 Lando (2001) 以及 Giesecke (2005) 表明，当企业价值连续可观测时，结构性信用风险模型通常不会定义强度过程。 Chen (2006) 将此强度称为瞬时默认强度，并表明当满足某些条件时，确实存在替代的前向默认强度过程。该建议旨在利用完全信息系统、不完全信息系统和不对称信息系统下不同类型的企业价值过程来得出前向强度的结果。 2．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。 Hull、Predescu和White（2005）表明，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。 Hull、Predescu 和 White (2005) 提出了这个概念，而该提案旨在建立信用风险分解的数学方法。  3.精算科学与金融风险的整合根据《金融服务法》（1999），保险公司和银行这两个原本截然不同的业务部门可以合并并在一个金融机构内运营。由于巴塞尔协议II和新的偿付能力监管体系II即将生效，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应一起评估。及时研究整合这些风险对于金融机构和金融市场非常重要。

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.