Study on credit risk contagion model based on filter theory

By using filter theory, we propose a credit risk contagion model with the features of credit default sequence, the structure of probability density of credit default time and the distribution function of company's conditional survival probability. By introducing a two-dimensional Gumbel Copula function, we carry out simulation experiment and comparative analysis of the influencing factor of the company's conditional survival probability distribution. We find that the impact of the sequentiality, correlation and intensity of credit defaults on the contagion effect of credit risk and the company's survival probability is significant.