|
个人信息Personal Information
教授
博士生导师
硕士生导师
性别：男
毕业院校：大连理工大学
学位：博士
所在单位：金融与会计研究所
学科：投资学. 管理科学与工程
办公地点：经济管理学院D635
联系方式：qinxz@dlut.edu.cn
电子邮箱：qinxz@dlut.edu.cn
小样本下两阶段MCMC参数估计方法——基于信用风险强度模型的研究
点击次数：
论文类型：期刊论文
发表时间：2022-06-30
发表刊物：运筹与管理
期号：1
页面范围：126-131
ISSN号：1007-3221
摘要：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.
备注：新增回溯数据