英文文献：A multilevel factor approach for the analysis of CDS commonality and risk contribution-一种分析信用违约互换共性和风险贡献的多层次因素方法
英文文献作者：Carlos Vladimir Rodríguez-Caballero,Massimiliano Caporin
英文文献摘要：
We introduce a novel multilevel factor model that allows for the presence of global and pervasive factors, local factors and semi-pervasive factors, and that captures common features across subsets of the variables of interest. We develop a model estimation procedure and provide a simulation experiment addressing the consistency of our proposal. We complete the analyses by showing how our multilevel model might explain on the commonality across CDS premiums at the global level. In this respect, we cluster countries by either the Debt/GDP ratio or by sovereign ratings. We show that multilevel models are easier to interpret compared with factor models based on principal component analysis. Finally, we experiment how the multilevel model might allow the recovery of the risk contribution due to the latent factors within a basket of country CDS.

我们引入了一个新的多层次因素模型，该模型允许全局和普遍因素、局部因素和半普遍因素的存在，并捕获了相关变量子集的共同特征。我们开发了一个模型估计程序，并提供了一个模拟实验来解决我们的建议的一致性。通过展示我们的多级模型如何解释CDS溢价在全球层面上的共性，我们完成了分析。在这方面，我们根据债务/GDP比率或主权评级对国家进行分组。与基于主成分分析的因子模型相比，多层模型更容易解释。最后，我们实验了多层模型如何使一篮子国家信用违约掉期内的潜在因素带来的风险贡献率得以恢复。