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研究生:蘇育箴
研究生(外文):Yu-Chen Su
論文名稱:以市場觀點衡量銀行授信風險之研究
論文名稱(外文):A market-based approach to assess lendu risk
指導教授:郭照榮郭照榮引用關係
指導教授(外文):Chau-Jung Kuo
學位類別:碩士
校院名稱:輔仁大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:62
中文關鍵詞:授信風險信用風險信用分析違約機率風險中立評價法
外文關鍵詞:credit riskcredit analysiscredit spreaddefault raterisk-neutral valuation
相關次數:
  • 被引用被引用:2
  • 點閱點閱:251
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
傳統的授信風險分析多為質化之徵信調查以及財務分析,本研究尋求較客觀之授信風險分析,說明量化信用風險的可能作法,同時亦介紹具指標性的信用風險評估系統,希望能讓本國銀行了解國際潮流之信用風險模型的基本原理及架構。
授信風險之量化分析多半需要銀行內部資料庫系統配合,本文礙於模型相關投入要素取得的困難性,實證研究利用實際可觀察到之市場利率以及放款契約之基本要項,建構以市場觀點(market-based)衡量之授信風險模型,並應用此模型,分析國內某上市商業銀行之授信風險,希望透過此實證操作,提供本國銀行利用市場資訊基礎來衡量信用風險的觀念及作法,包括估計放款之信用價差、預期授信損失以及違約機率等,並據此作為授信決策、授信定價的參考以及信用風險管理評估工具。

Traditional approaches of credit analysis are often qualitative, which are based on the result of credit survey and financial analysis. The aim of this paper is to pursue more objective and quantitative approaches to measure credit risk. By illustrating the national benchmark credit risk models as J.P. Morgan’s CreditMetrics, KMV’s Portfolio Manager, CSFP’s Credit Risk+, McKinsey’s CreditPortfolioView, the local banks and issuers of fixed-income securities can realize the methodology and structure of measuring credit risk.
Constrained by the resources of relevant input of mentioned credit risk models, the experiment study utilizes the observable market interest rate level and basic items of lending contracts to establish the market-based credit risk model. By this model, the bank can assess credit spread, default rate, credit loss rate etc., and these information is helpful to making lending decisions, setting lending interest rate, and credit risk management.

目錄
第一章 緒論………………………...………………………………….01
第一節 研究動機與目的………………………………………......01
第二節 研究內容與架構………………………...………………...03
第二章 文獻回顧…………………………………………..………….05
第三章 銀行之授信風險分析……………………………………....09
第一節 傳統之授信風險分析…………………………..…….….09
第二節 量化之授信風險分析……………………...…………...…13
第三節 授信投資組合之信用風險分析……………………......…26
第四章 以市場觀點衡量銀行授信風險. …………………………37
第一節 理論模型之推導……………………………...…………...37
第二節 資料來源………………………………………....………..42
第三節 變數處理…………………………………………………..43
第四節 授信個案之試算…………………………………………..45
第五章 實證結果與分析…………………………….……..……….47
第一節 信用價差……………………………….………..………..47
第一節 預期債權損失率與違約機率………….………..………..50
第二節 個案銀行放款之預期損失金額……….…………..……..57
第六章 結論與研究限制……………………….………………….59
第一節 結論與建議……………………………………………...59
第二節 研究限制………………………………………………...62

1. 林佳蓉(2001),信用風險模型之發展與衡量-以中長期資金運用制度為例,國立中山大學財管所未出版碩士論文。
2. 郭照榮、張玉山(2001),中長期資金運用之總體效益評估與建議,行政院經濟建設委員會委託研究結案報告。
3. Altman, E.I.(December,1968), ”Financial Ratios, Discriminant Analysis and Performance.” Journal of Finance, pp. 589-609
4. Altman, E.I., and A. Saunders(1997), “Credit Risk Measurement:Developments over the Last Twenty Years,” Journal of Banking and Finance, May-June, pp.1721-1742
5. Anthony Saunders(1999),Credit Risk Measurement:new approaches to value at risk and other paradigms, published by John Wiley & Sons,Inc.
6. Black, F., and M. Scholes(1973), “The Pricing of Options and Corporate Liability.” Journal of Political Economy, May-June, pp. 637-654
7. Cossin, D., and H. Pirotte(2000), Advanced Credit Analysis-financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk, published by John Wiley & Sons,Inc.
8. CreditMetrics(1997), Technical Document, JP Morgan.
9. Credit Suisse Financial products(1997), “Credit Risk Plus.” Technical Document, Landon/New York.
10. Crouhy, M., D. Galai and R. Mark(2000), “A Comparative Analysis of Current Credit Models,” Journal of Banking and Finance, Vol.24, pp.1721-1742.
11. Duffie, D., and K. Singleton(1997), “An Econometric Model of the Term Structure of Interest-Rate Swap Yields.” Journal of Finance, Vol. 44, pp. 747-769
12. Duffie, D. and D. Lando(1997), “Term Structures of Credit Spreads with Incomplete Accounting Information.”, Preliminary Draft,September 12, 39pp
13. Franks, J. R. and W. Torous (1989), “An empirical Investigation of US. Firms in Reorganization.” Journal of Finance, Vol44. pp.747-769
14. Ginzberg, A., K. Maloney, and R. Wilner(1994). “Risk Rating Migration and valuation of Floating Rate Debt,” ,March, Working Paper, Citicorp.
15. Jarrow, R., D. Lando, and Turnbull(1997), “A Markov Model for the Term Structure of Credit Spreads,” Review of Financial Studies,pp481-523
16. KMV(1993), “Credit Monitor Overview” San Francisco: KMV corporation, (mimeo)
17. KMV, ”Portfolio Manager Model.” San Francisco: KMV Corporation, undated
18. Litterman, R. and T. Iben(1989), “Corporate Bond Valuation and the Term Structure of credit spreads,” Journal of Portfolio Management, November3, pp. 52-64
19. Longstaff , F.A., and E.F. Schwartz(1995), “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt.” Journal of Finance, July, pp. 789-819
20. Lando, D.(1998), “On Cox Processes and Credit Risky Securities,” Review of Derivatives Research, Vol.2, pp. 99-120.
21. McKinsey and Co.(1997), Credit Portfolio View. New York: McKinsey and Co.
22. Nickell, P., W. Perraudin, and S. Varotto(1998), “Stability of Rating Transitions.” September 21-22, Paper presented at the Bank of England Conference on Credit Risk Modeling and Regulatory Implications, Landon.
23. Tracy, W., and M. Carey(1998), “Internal Credit Risk Rating Systems at Large U.S. Banks.” November, Federal Reserve Bulletin.
24. Wilson, T.(1997a), “Credit Risk Modeling: A New Approach.” New York: McKinsey Inc.,(mimeo).
25. Wilson, T.(1997b), “Portfolio Credit Risk(Part I and Part II).”Risk Magazine, September and October.
26. Zhou, C.(1997), “A Jump Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities.” Working Paper, Federal Reserve Board of Governors, undated.

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