CAJ | 학술논문

信用衍生产品在信用风险管理领域日益流行。其标的资产池的违约相关性结构在信用衍生产品定价、信用组合多元化和信用组合风险管理中具有重要作用。本文通过复制信用衍生产品中存在的隐含相关性微笑曲线现象，研究信用衍生产品标的信用的违约相关性结构。结果表明，本文使用的研究方法能够较好地给出标的信用合约间的违约相关性结构，同时，本文从风险管理角度研究了算法的有效性、计算效率和稳健性，并给出了相应的解释。
신용연생산품재신용풍험관리영역일익류행。기표적자산지적위약상관성결구재신용연생산품정개、신용조합다원화화신용조합풍험관리중구유중요작용。본문통과복제신용연생산품중존재적은함상관성미소곡선현상，연구신용연생산품표적신용적위약상관성결구。결과표명，본문사용적연구방법능구교호지급출표적신용합약간적위약상관성결구，동시，본문종풍험관리각도연구료산법적유효성、계산효솔화은건성，병급출료상응적해석。
Credit derivatives are becoming increasingly important in credit risk management. The correlation structure of their underlying assets has significant importance on credit derivatives pricing, credit portfolio diversification and credit risk management. The paper studies the implied correlation smile curves by duplicating those smile curves existed in credit derivatives. The results show that the methods can estimate the correlation structure from credit derivatives market information. Furthermore, the authors explain those efficiency and robustness of the algorithms in terms of risk management.