臺灣博碩士論文加值系統

This paper emphasis on the importance of default correlation, and also illustrate how the concept is connected with the Basel Ⅱ framework’s intention. Moreover, the paper brought out the different methodologies used by practitioners to arrive at the default correlation calculation, namely, the dispute between asset correlation and equity correlation. Furthermore, based on the model proposed by Hamerle, Liebig, and Scheule (2004), a panel logit model is set up to capture the relationship between the default events and the risk components endured by the specific industry. The model is therefore used to test the applicability of such model using Taiwan’s banking industry data. The result is consistent with our expectation about including the macroeconomic variables which will help to explain the default events happened within the banking industry. But, to my surprise, the proposition about the contemporary systematic random risk effect seems to be insignificant and a fixed effect is suggested to be assumed instead.

Contents

1 Introduction 3

2 Literature Survey 5

3 Methodology Comparisons 6
3.1 The Basic Issue………………………………..……………………………..6
3.2 JP Morgan’s Approach…………………………..…………………………8
3.3 Moody’s Approach……………………………..……………………………9
3.4 Lopez’s Approach………………………………..…………………………12
3.5 Deutsche Bundesbank’s Approach…………………………………………13
3.5.1 Gauging the Default Event…………….…………………………13
3.5.2 Modeling the Credit Risk……...…..……….……………………...15
3.5.3 Modeling the Asset Correlation………...………………………….18
3.5.4 Default Correlation…………….……..……………………………21
3.5.5 Estimating the Random Effect Parameter….……………………...22
3.5.6 Shortcomings of this Approach……..…...………….………..……25

4 Empirical Results 26
4.1 Data………………………………………………………………………...26
4.2 Risk Factors………………………………………………………………...29
4.3 Estimation Results………………………………………………………….35

5 Conclusion 39

References 41

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