摘要翻译：
我们提出了一个组合信用风险的混合模型，其中潜在变量的动态由一个单因素GARCH过程控制。这类过程的显著特征是，在很长的视界内，长期的总收益分布基本上偏离渐近高斯极限。我们引入相关面的概念，作为比较投资组合信用损失产生模型和定价合成CDO阶段的一个方便的工具。分析潜在动态的不同规范，我们得出结论，具有TARCH波动率规范的非对称模型是产生显著且持续的信用相关性倾斜的首选。这些模型中相关偏差对期限到期日和组合风险率的特征依赖关系对CDO的相对价值分析和风险管理都有重要影响。
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英文标题：
《The Underlying Dynamics of Credit Correlations》
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作者：
Arthur M. Berd, Robert F. Engle, Artem Voronov
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that the long-term aggregate return distributions can substantially deviate from the asymptotic Gaussian limit for very long horizons. We introduce the notion of correlation surface as a convenient tool for comparing portfolio credit loss generating models and pricing synthetic CDO tranches. Analyzing alternative specifications of the underlying dynamics, we conclude that the asymmetric models with TARCH volatility specification are the preferred choice for generating significant and persistent credit correlation skews. The characteristic dependence of the correlation skew on term to maturity and portfolio hazard rate in these models has a significant impact on both relative value analysis and risk management of CDO tranches.
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PDF链接：
https://arxiv.org/pdf/1001.0786