英文标题：
《Max-factor individual risk models with application to credit portfolios》
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作者：
Michel Denuit and Anna Kiriliouk and Johan Segers
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最新提交年份：
2014
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英文摘要：
  Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit risk, for instance, where joint defaults are a major cause of concern. Often, the dependence between the individual loss occurrence indicators is driven by a small number of unobservable factors. Conditional loss probabilities are then expressed as monotone functions of linear combinations of these hidden factors. However, combining the factors in a linear way allows for some compensation between them. Such diversification effects are not always desirable and this is why the present work proposes a new model replacing linear combinations with maxima. These max-factor models give more insight into which of the factors is dominant.
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中文摘要：
个别风险模型需要捕捉可能的相关性，因为不这样做通常会导致低估总损失的极端分位数。例如，在联合违约是一个主要问题的情况下，这种依赖性建模对于管理信用风险尤其重要。通常，个别损失发生指标之间的相关性是由少数不可观察的因素驱动的。然后将条件损失概率表示为这些隐藏因子的线性组合的单调函数。然而，以线性方式组合这些因素可以在它们之间进行一些补偿。这种多元化效应并不总是可取的，这就是为什么本研究提出了一种新的模型，用极大值代替线性组合。这些最大因子模型可以更深入地了解哪些因素占主导地位。
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分类信息：

一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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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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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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