GRAPHICAL MODELS FOR CORRELATED DEFAULTS

Ismail Onur Filiz; Xin Guo; Jason Morton; Bernd Sturmfels

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GRAPHICAL MODELS FOR CORRELATED DEFAULTS

机译：相关默认值的图形模型

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摘要

A simple graphical model for correlated defaults is proposed, with explicit formulas for the loss distribution. Algebraic geometry techniques are employed to show that this model is well posed for default dependence: it represents any given marginal distribution for single firms and pairwise correlation matrix. These techniques also provide a calibration algorithm based on maximum likelihood estimation. Finally, the model is compared with standard normal copula model in terms of tails of the loss distribution and implied correlation smile.

机译：提出了一种用于相关违约的简单图形模型，其中包含用于损失分配的显式公式。代数几何技术被用来表明该模型对于违约依赖是恰当的：它代表了单个公司和成对相关矩阵的任何给定的边际分布。这些技术还提供了基于最大似然估计的校准算法。最后，在损失分布的尾部和隐含的相关微笑方面，将该模型与标准的普通copula模型进行了比较。

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来源
《Mathematical finance》 |2012年第4期|p.621-644|共24页
作者
Ismail Onur Filiz; Xin Guo; Jason Morton; Bernd Sturmfels;
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作者单位

University of California at Berkeley;

Department of Industrial Engineering and Operations Research.University of California at Berkeley. CA. USA;

University of California at Berkeley;

University of California at Berkeley;

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原文格式 PDF
正文语种 eng
中图分类
关键词
graphical models; toric models; ising model; default dependence; correlated default; correlation smile; normal copula; algebraic statistics;

机译：图形模型;复曲面模型;发行模型默认依赖相关违约;相关微笑正常copula;代数统计;

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专利

1. Nonexistence of Markovian time dynamics for graphical models of correlated default [J] . Steven N. Evans, Alexandru Hening Queueing systems . 2011,第3a4期

机译：相关违约的图形模型的马尔可夫时间动力学的不存在
2. Modeling correlated samples via sparse matrix Gaussian graphical models [J] . Yi-zhou He, Xi Chen, Hao Wang Journal of Zhejiang university science . 2013,第2期

机译：通过稀疏矩阵高斯图形模型对相关样本进行建模
3. Modeling correlated samples via sparse matrix Gaussian graphical models [J] . Yi-zhou HE, Xi CHEN, Hao WANG 浙江大学学报（英文版）（C辑：计算机与电子） . 2013,第002期

机译：通过稀疏矩阵高斯图形模型对相关样本进行建模
4. The Development of Web-based Graphical User Interface for Unified Modeling Data with Multi (Correlated) Responses [C] . I Made Tirta, Dian Anggraeni International Conference of Combinatorics, Graph Theory, and Network Topology . 2017

机译：具有多（相关）响应的统一建模数据的基于Web的图形用户界面的开发
5. Graphical models for correlated defaults. [D] . Filiz, Ismail Onur. 2008

机译：相关默认值的图形模型。
6. A Graphical Modelling Approach to the Dissection of Highly Correlated Transcription Factor Binding Site Profiles [O] . Robert Stojnic, Audrey Qiuyan Fu, Boris Adryan 2012

机译：解剖高度相关的转录因子结合位点图的图形建模方法。
7. Non-existence of Markovian time dynamics for graphical models of correlated default [O] . Evans, Steven N., Hening, Alexandru 2010

机译：图形模型的马尔可夫时间动力学不存在相关默认值

GRAPHICAL MODELS FOR CORRELATED DEFAULTS

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