Font Size: a A A

Research On The Applications Of Survival Analysis In Credit-Risk Management

Posted on:2007-06-23Degree:MasterType:Thesis
Country:ChinaCandidate:Y LinFull Text:PDF
GTID:2189360212977619Subject:National Economics
Abstract/Summary:PDF Full Text Request
Efficient and dependable social credit system is one of the most important fundamental institutions in modern market economy. It is currently an urgent need to build a scientific and highly-efficient credit risk management system of our own country.Survival Analysis is the heated area in the present international field of credit risk analyzing. Due to the properties of survival data and the flexibility of corresponding statistical methods, it can well adapt to the demands of analyzing credit risk as well as largely overcome the disadvantages of traditional methods. This paper mainly discusses the applications of survival analysis in credit risk analysis by doing empirical research using Chinese data. The paper consists of four following chapters:The First, Introduction. Here the credit risk's definition, sources, categories, characteristics as well as its influence on calculating credit risk are illustrated specifically. The mainstreams of credit risk analyzing methodologies and its developing tendency are also summarized here. Then I compare the three main branches of current credit-risk statistical models in details, including Discriminant Analysis, Logit & Probit Model and Survival Analysis, with reviewing the related references. Additionally, I point out that Survival Analysis is one of the latest developments and the hottest areas in this field at present across the world.The Second, The Principles of Survival Analysis. This section discusses the major theories of Survival Analysis related with credit risk analysis, including its data properties, basic functions, common distributions and modeling approaches.The Third, The Survival Analysis of Chinese Listing Corporates. In this section, I study the survival time of Chinese Listing Companies traded in Shanghai and Shenzhen Stock Market, with the definition of failure event as ST, Special Treatment. The research is done from two perspectives, risk management and risk prediction.The Forth, The Application of Copula Function in Survival Analysis. The management of credit risk portfolio is an important issue in risk management field and always tough to deal with. However, Survival Analysis can calibrate the defaultcorrelation among multiple credit assets more accurately and efficiently by combining with Copula function, a useful mathematical tool that can link univariate marginals to their full multivariate distribution.The intuitive point of this paper lies in systematically discussing the theories and applications of Survival Analysis as a newly-arising method of credit risk analysis. More importantly, it is the first time to use it to analyze the credit-risk situation of Chinese listing companies. A final conclusion is also arrived that Survival Model can have a bright applying perspective in China's credit risk management.
Keywords/Search Tags:Credit Risk, Survival Analysis, Copula Function
PDF Full Text Request
Related items