| 基于马尔可夫方法的违约传染平均域模型 |
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| 引用本文：刘久彪.基于马尔可夫方法的违约传染平均域模型[J].经济数学,2017,(2):89-94 |
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| 中文摘要:基于平均域模型，将信用组合分为几个同质的子组合，假设组合中各公司的违约强度不仅取决于宏观经济状况，而且依赖于这些子组合中违约公司的数目，以刻画不同公司间的违约相互作用；并据此建模组合违约过程为连续时间马尔可夫链，借助Kolmogorov微分方程求解信用组合损失分布；最后，通过实例计算分析传染现象对组合损失分布、风险量度的影响. |
| 中文关键词:金融管理学 信用组合 马尔可夫方法 违约传染 平均域模型 |
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| Mean-Field Model of Default Contagion Based on theMarkovian Approach |
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| Abstract:The credit portfolio was divided into several homogeneous sub-portfolio by mean-field model，and the company’s default intensity was assumed to depend on macroeconomic conditions and the number of defaulted companies in the sub-portfolio in order to characterize the interaction among different companies.Then，the portfolio default process was modeled as a continuous-time Markov chain，and credit portfolio loss distribution was solved by Kolmogorov differential equation.Finally，we analyzed the influence of default contagion on the portfolio loss distribution and risk measure by the examples. |
| keywords:financial management credit portfolio markovian approach default contagion mean-field model |
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