【摘要】 信用风险研究是近些年来金融数学中的一个崭新的研究方向.本文主要研究了组合信用风险中的常用方法:违约相关性的Copula方法.本文建立了Copula方法与违约相关性研究中的结构化方法和约化方法的联系.此外对于单个公司的生存概率的研究,本文给出了不同于Lando(1998)的求解和证明方法,而这种方法不需要在现在就知道将来的信息.更多还原

【Abstract】 Credit risk theory has become one of the cutting edges in modern finance over the past few years.We investigate into one of the important issues amongst portfolio’s credit risk:Copula’s applications in correlated default.We discover the relationship amongst Copula and other tools for the correlated default,such as structural models and reduced form models.Additionally,different from Lando (1998),we present another method and proof for the calculation of default probability of the single firm.更多还原