کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
479444 1445990 2016 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Default probability estimation via pair copula constructions
ترجمه فارسی عنوان
تخمین احتمال پیش فرض از طریق ساختارهای ساختگی جفت
کلمات کلیدی
احتمال پیش فرض زنجیره مارکوف مونت کارلو، ادعای احتمالی چند متغیره، همپائی جفت، انگور
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی


• We provide a methodology to accurately evaluate firm default probability.
• Multivariate contingent claim model on balance sheet data for firm asset value.
• Use of Bayesian parametric mixture models for vine-marginal modelling.
• Asset and liability dependence structure is modelled via pair copula constructions.
• Our approach allows us to correctly estimate the PD of defaulted as well as of sound firms.

In this paper we present a novel approach for firm default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula constructions. For each considered firm, balance sheet data are used to assess the asset value, and to compute its default probability. The asset pricing function is expressed via a pair copula construction, and it is approximated via Monte Carlo simulations. The methodology is illustrated through an application to the analysis of both operative and defaulted firms.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 249, Issue 1, 16 February 2016, Pages 298–311
نویسندگان
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