Credit risk modelling and integration of actuarial science and financial risk

这项研究提案提出了精算学、信用风险、数学和统计学之间的交叉学科项目。该建议针对三个主要目标：1.基于远期违约强度的信用风险模型Duffie和Lando(2001)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定义强度过程。Chen(2006)将这种强度称为瞬时违约强度，并证明了当满足某些条件时，确实存在另一种远期违约强度过程。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价值过程的溢出强度。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。Hull，Predesu和White(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。赫尔、普雷德斯库和怀特(2005)提出了这一概念，而这一建议旨在建立信用风险分解的数学方法。3.精算和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不同的业务线可以合并并在一家金融机构内运营。由于巴塞尔协议II和新的偿付能力协议II即将生效，因此应将缓解未来损失的资本缓冲、精算负债和涵盖市场风险、信用风险和操作风险的财务最低资本一并评估。及时研究整合这些风险对金融机构和金融市场都是非常重要的。

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.