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

Table 2

Coefficients of the factors in mixed Poisson model.

Stock code	Common factors				Specific factor
	𝑎𝑖1	𝑎𝑖2	𝑎𝑖3	𝑎𝑖4	𝑎𝑖0
Real Estate
600048.SH	5.024𝐸−03	1.455𝐸−02	6.538𝐸−02	−4.537𝐸−02	−1.272𝐸−02
600077.SH	−4.543𝐸−02	1.013𝐸−01	5.354𝐸−02	−2.203𝐸−02	−2.747𝐸−02
600162.SH	−2.875𝐸−02	4.103𝐸−02	−3.844𝐸−02	6.869𝐸−02	−1.359𝐸−02
Machinery
600150.SH	1.060𝐸−01	−1.010𝐸−01	−2.355𝐸−01	3.381𝐸−01	−2.440𝐸−02
600166.SH	−1.511𝐸−03	2.158𝐸−02	3.428𝐸−02	−1.519𝐸−02	−1.318𝐸−02
600169.SH	1.956𝐸−02	8.639𝐸−03	1.278𝐸−01	−8.848𝐸−02	−2.282𝐸−02
Financial Industry
600000.SH	3.760𝐸−02	−1.212𝐸−01	1.499𝐸−01	1.111𝐸−01	−3.520𝐸−02
600015.SH	2.131𝐸−02	−1.426𝐸−02	7.727𝐸−02	8.240𝐸−02	−4.316𝐸−02
600016.SH	−4.171𝐸−02	7.909𝐸−02	−3.450𝐸−02	1.204𝐸−01	−1.721𝐸−02