7/30/2019 La_Gestion_des_Risques

1/6

7/30/2019 La_Gestion_des_Risques

2/6

n x P1 (xi i

xi = 1 xi 0 P1

P1

P1

m

rit =mj=1

ijFjt +

it

rit i t Fjt j t

ij

i j it i

Ft =

F1t , . . . , F

mt

it N

0, 2i

Ft N(0, )

m = 1) i1 = i

F1t N

0, 2F

7/30/2019 La_Gestion_des_Risques

3/6

I Mi L

L =I

i=1

EADi LGDi 1 {i Mi}

F L

F1 () =

Ii=1

EADi E [LGDi] P Di

H1 (1 )F1 ()

X H X

F1 ()

X

MiZi Bi

i Mi Zi BiZi =

X+

1 i Zi X i

X i

7/30/2019 La_Gestion_des_Risques

4/6

Bi = 1 (P Di (Mi)) P Di (Mi)

i Mi

Pr

{i

Mi

|X = x

}=

Bi x

1 i

EADi E [LGDi]

1 (P Di (Mi)) +

1 ()

1

P Di (Mi)

max(X1, . . . , X n)min(X1, . . . , X n) Xi

G (x) = exp

1 +

x

1/

G1 () = 1

1 ( ln )

{x1, . . . , xn

}

n

t

r

t

t

r

t

+

t

n 1

P1 P2

P1P2

7/30/2019 La_Gestion_des_Risques

5/6

C

C

C

B (a, b)

=a

a + b

2 =ab

(a + b)2

(a + b + 1)

a b

(t)

(t) = m t

tm1, tm

(t) t t

=

94% 3% 2% 1%10% 80% 5% 5%10% 10% 60% 20%

0 0 0 100%

2 =

88.86% 5.42% 3.23% 2.49%17.9% 64.80% 7.2% 10.1%16.4% 14.3% 36.70% 32.60%

0 0 0 100%

7/30/2019 La_Gestion_des_Risques

6/6

3 =

84.39% 7.32% 3.99% 4.30%24.02% 53.10% 7.92% 14.96%20.52% 15.60% 23.06% 40.82%

0 0 0 100%

SA (t) SB (t) SC (t) (t)

(t)0 t < 2 2 t < 4 4 t < 6

=

0.0325 0.0165 0.0126 0.00340.0558 0.1149 0.0353 0.02380.0622 0.0711 0.2592 0.1259

0 0 0 0

(t)

(t)

(t)