【摘 要】
：
利用GARCH模型修正后的KMV模型,本文度量了供应链网络关联企业的违约距离,用多元Copula函数模型描述了它们之间的相关结构与时变相关性,构造了联合违约距离度量企业组合的信
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利用GARCH模型修正后的KMV模型,本文度量了供应链网络关联企业的违约距离,用多元Copula函数模型描述了它们之间的相关结构与时变相关性,构造了联合违约距离度量企业组合的信用风险,将联合违约距离作为衡量组合优化指标创建的目标函数。在负债比例浮动限额内,通过蒙特卡洛模拟方法获取最优的贷款组合比例。
By using the modified KMV model of GARCH model, this paper measures the default distance of affiliated enterprises in supply chain network, describes the correlation between them and time-dependent with multivariate Copula function model, constructs the credit of joint portfolio Risk, the joint default distance as a measure of the objective function of portfolio optimization indicators. Within the debt-to-equity floating limit, the optimal loan portfolio ratio is obtained through Monte Carlo simulation.
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