Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model

Table 1

Dynamic default probabilities and Poisson intensity.

Stock code		Ordinal number of each trading day
		1	2	3	⋯	236	237	238
Real Estate
600048.SH	𝑃^∗	1.604𝐸−03	1.297𝐸−03	1.243𝐸−03	⋯	1.604𝐸−03	1.297𝐸−03	1.243𝐸−03
	𝑅^∗	1.607𝐸−03	1.299𝐸−03	1.244𝐸−03		4.411𝐸−03	4.656𝐸−03	5.134𝐸−03
600077.SH	𝑃	6.251𝐸−03	5.358𝐸−03	4.638𝐸−03		9.777𝐸−03	1.230𝐸−02	1.241𝐸−02
	𝑅	6.290𝐸−03	5.387𝐸−03	4.660𝐸−03		9.874𝐸−03	1.245𝐸−02	1.256𝐸−02
600162.SH	𝑃	3.985𝐸−03	3.655𝐸−03	3.585𝐸−03		5.782𝐸−04	7.794𝐸−04	9.436𝐸−04
	𝑅	4.001𝐸−03	3.668𝐸−03	3.598𝐸−03		5.785𝐸−04	7.800𝐸−04	9.445𝐸−04
Machinery
600150.SH	𝑃	2.326𝐸−02	2.148𝐸−02	2.213𝐸−02	⋯	2.326𝐸−02	2.148𝐸−02	2.213𝐸−02
	𝑅	2.382𝐸−02	2.196𝐸−02	2.264𝐸−02		3.336𝐸−03	5.137𝐸−03	5.000𝐸−03
600166.SH	𝑃	1.156𝐸−03	9.690𝐸−04	7.421𝐸−04		2.018𝐸−03	2.283𝐸−03	2.214𝐸−03
	𝑅	1.158𝐸−03	9.700𝐸−04	7.427𝐸−04		2.023𝐸−03	2.289𝐸−03	2.219𝐸−03
600169.SH	𝑃	4.647𝐸−04	2.570𝐸−04	2.359𝐸−04		1.387𝐸−03	1.991𝐸−03	2.138𝐸−03
	𝑅	4.649𝐸−04	2.570𝐸−04	2.360𝐸−04		1.389𝐸−03	1.995𝐸−03	2.143𝐸−03
Financial Industry
600000.SH	𝑃	3.869𝐸−02	3.784𝐸−02	3.791𝐸−02	⋯	2.539𝐸−02	2.797𝐸−02	2.766𝐸−02
	𝑅	3.722𝐸−02	3.644𝐸−02	3.650𝐸−02		2.475𝐸−02	2.720𝐸−02	2.691𝐸−02
600015.SH	𝑃	2.794𝐸−02	2.641𝐸−02	2.650𝐸−02		1.737𝐸−02	1.892𝐸−02	1.854𝐸−02
	𝑅	2.717𝐸−02	2.572𝐸−02	2.580𝐸−02		1.707𝐸−02	1.857𝐸−02	1.820𝐸−02
600016.SH	𝑃	3.719𝐸−02	3.659𝐸−02	3.674𝐸−02		2.705𝐸−02	2.758𝐸−02	2.761𝐸−02
	𝑅	3.583𝐸−02	3.527𝐸−02	3.541𝐸−02		2.633𝐸−02	2.683𝐸−02	2.686𝐸−02

∗(1) 𝑃 represents the default probability of each obligor.
(2) 𝑅 represents the estimation of Poisson intensity.