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Indexed by:期刊论文

Date of Publication:2022-06-30

Journal:运筹与管理

Issue:1

Page Number:126-131

ISSN No.:1007-3221

Abstract:In the Chinese financial market,the bias caused by small-size sample is usually encountered to estimate parameters of credit risk intensity model. To solve this problem,this paper proposes a two-stage MCMC (Markov chain Monte Carlo) approach. In the first stage,we make use of non-parametric estimation method developed by Lee and Mykland to estimate the parameters of jumps,and in the second stage,MCMC approach to the parameters of diffusion and drift. Then we compare the estimation error of the two-stage MCMC approach and MCMC approach. The former is less than the latter. At last,we make empirical analysis and stability analysis to default risk intensity model,using the default and prepayment data of "Jianyuan2005-1" which is the first MBS (Mortgage Backed Securities) in China.

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