Topics in portfolio credit risk and operational risk: dependence/stress modeling and robust estimation

建议的研究课题是我在信用风险和操作风险建模方面的持续研究计划的一部分。*最近的经验证据表明，在压力时期，资产和违约相关性都急剧增加。我建议研究一类相依违约模型，它可以在压力下包含过度的相关性。将研究纳入信用衍生品价格和风险措施的依赖程度的含义。* 这一研究领域非常重要，因为建立在条件独立性和正态性假设基础上的典型模型无法解释市场的极端波动，因此严重低估了风险。标的资产的联合动态模型是信用风险建模的基础。我打算研究一个多资产模型，其中包括随机波动率和随机相关性。 将考虑参数估计和诊断工具，特别适用于欧洲主权信用风险的建模。* 除信用风险外，还将研究操作风险建模的一些问题。投资组合问题包括外部损失数据缩放的稳健回归方法的发展。将研究多变量损失模型，以纳入业务单位和事件类型之间的任何相互依赖关系。**

The proposed research topics are aspects of my continuing research programs in credit risk and operational risk modeling.****The recent empirical evidence shows that both asset and default correlations violently increase during stress periods. I propose to study a class of dependent default models, which can incorporate excessive correlations under stress. The implication of the level of dependence incorporated to the credit derivative prices and the risk measures will be studied. ****This area of research is quite important as the typical models which are built on the conditional independence and the normality assumptions, fail to explain the extreme movement in the market and, thus, introduce a severe underestimation of risk.****The modeling of the joint-dynamics of underlying assets is fundamental in credit risk modeling. I intend to study a multi-asset model that incorporates stochastic volatility and stochastic correlations. Parameter estimation and diagnostic tools with a particular application to the modeling of European sovereign credit risk will be considered. ****In addition to credit risk, a few issues will be studied on operational risk modeling. The portfolio question includes the development of a robust regression method for external loss data scaling. Multivariate loss models will be studied to incorporate any interdependence between business units and event types.******