A Measure on Joint Default Risk Based Credit Rating Information and Combinatorial Copula Function

It is very important for bank to control the credit risk of guarantee loan or combinational loan by evaluating the joint default risk of different enterprises. Firstly we apply a combinational copula function to measure the joint default risk of two enterprises with credit rating information; secondly the default intensity model is intended to analyze the default time distribution; thirdly we use the optimization method to compute the parameter of combinational copula function and the default intensity. Overall, bank can take advantage of the credit rating information given by credit evaluating institution to evaluate the joint default risk of two enterprises.