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首页> 外文期刊>Physica, A. Statistical mechanics and its applications >Default risk modeling with position-dependent killing
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Default risk modeling with position-dependent killing

机译：具有与位置相关的查杀功能的默认风险建模

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Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to diverse models of bankruptcy. One "stylized fact" is fundamental for our consideration: empirically default is a rather rare event, especially in the investment grade categories of credit ratings. Hence, the action of killing may be considered as a small parameter. In a number of special cases we derive closed-form expressions for the entire term structure of the cumulative probability of default, its hazard rate, and intensity. Comparison with historical data on aggregate global corporate defaults confirms the validity of the perturbation method for estimations of long-term probability of default for companies with high credit quality. On a single company level, we implement the derived formulas to estimate the one-year likelihood of default of Enron on a daily basis from August 2000 to August 2001, three months before its default, and compare the obtained results with forecasts of traditional structural models.
机译：在存在位置依赖性杀伤的情况下，线性势中的扩散用于模拟默认过程。关于运输系数，初始条件和杀戮措施的弹性的不同假设导致破产的各种模型。一个“程式化的事实”是我们考虑的基础：经验上的违约是相当罕见的事件，尤其是在信用评级的投资级类别中。因此，杀死的动作可以被认为是小的参数。在许多特殊情况下，我们得出违约累积概率，风险率和强度的整个期限结构的闭式表达式。与全球公司违约总额的历史数据进行比较，证实了扰动方法对于高信用质量公司的长期违约概率估计的有效性。在单个公司级别上，我们使用导出的公式来估计从2000年8月至2001年8月（每天发生违约事件的前三个月）每天安然发生违约的一年的可能性，并将获得的结果与传统结构模型的预测进行比较。

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