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研究生:陳淑郁
研究生(外文):Shu-Yu Chen
論文名稱:信用風險衡量-模型的比較研究
論文名稱(外文):The Measurement of Credit Risk-A Comparative Study of Credit Models
指導教授:黃仁德黃仁德引用關係
指導教授(外文):Jen-Te Hwang
學位類別:碩士
校院名稱:嶺東技術學院
系所名稱:財務金融研究所
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
畢業學年度:92
語文別:中文
論文頁數:187
中文關鍵詞:新巴塞爾資本協定信用風險信用風險模型
外文關鍵詞:New Basel Capital AccordCredit RiskCredit Risk Models
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摘要
近年來,信用風險管理及投資組合決策變得日益複雜且具爭議性。因此,伴隨著違約機率及違約損失金額的增加,信用風險衡量的精確性變得愈來愈重要。巴塞爾銀行監理委員會為了建全金融機構的信用風險管理,於2004年6月推出新巴塞爾資本協定,對於銀行最低資本要求的估算,規範了更為廣泛的計算準則,即在求算資本要求時,允許金融機構使用內部模型估計交易帳簿中有關信用風險的法定資本。
為了配合新巴塞爾資本協定的信用風險衡量規範,本論文將介紹與比較目前由國際大型金融機構所發展,較受歐美金融業界歡迎的四種信用風險模型。首先,為以風險值為基礎,由摩根大通銀行所發展出來的信用計量法,此方法為在給定的風險衡量期間中,考慮信用工具之評等轉移至另一個評等的機率,且使用風險值的觀念來求算信用風險值。第二個信用風險衡量方法,是由穆迪KMV公司所發展出來的信用風險衡量方法,乃以R. C. Merton所提出的公司價值理論為基礎。此模型假設違約發生與公司的資本結構是有關的,即當公司的資產價值低於某一臨界值時,違約即發生。
第三個信用風險衡量方法為以精算法為基礎,由瑞士信貸第一波士頓公司所發展出來的信用風險加成模型。此模型只專注於討論違約發生情況下信用工具的損失,並未考慮信用評等變動所造成的損失,且假設信用工具的違約發生是符合波桑分配過程。第四個信用風險衡量方法,乃以總體經濟變數為基礎,由麥肯錫公司發展出來的信用投資組合觀法,其使用經濟體系中對於信用循環造成較大影響的總體經濟變數為條件來衡量違約機率。最後,本文對於這四個信用風險模型的建構概念作一比較分析。
ABSTRACT
The credit risk management and portfolio decisions on credit assets in financial world have become far more complex and controversial in recent years. Therefore, measuring credit risk accurately has become increasingly important as economies almost worldwide have slowed with an accompanying increase in probability of defaults and default losses. The Basel Committee on Banking Supervision has painstakingly constructed the New Basel Accord that will make financial institutions credit risk management more sound. In particular, the committee has defined a very comprehensive set of formulas that will allow banks to calculate their minimal capital requirements (Pillar 1). The New Basel Capital Accords capital requirements for risks allows banks to use internal models to assess regulatory capital related to general credit risk for their trading book.
For these reasons we discuss above, this thesis would like describing and comparing the current proposed industry sponsored credit risk models. The models we explain in thesis have four types of credit portfolio models. First, the value-at-risk approach, as proposed by JP Morgan with CreditMetrics, is based on the probability of moving from one credit quality to another, including default, within a given time horizon. Second, the option pricing, or structural approach, as initiated by KMV and which is based on the asset value model originally proposed by R. C. Merton. In this model the default process is endogenous, and relates to the capital structure of the firm. Default occurs when the value of the firm’s assets falls below some critical level.
Third, the actuarial approach as proposed by Credit Suisse Financial Boston (CSFB) with CreditRisk+ and which only focuses on default. Default for individual bonds or loans are assumed to follow an exogenous Poisson process. Fourth, McKinsey proposes CreditPortfolioView approach which is a discrete time multi-period model where default probabilities are conditional on the macro-variables like unemployment, the level of interest rates, the growth rate in the economy, which to a large extent drive the credit cycle in the economy. Finally, a comparative analysis by the conceptual modeling approaches for the four models are presented.
第一章 緒論
第一節 研究動機與目的
第二節 研究架構
第二章 巴塞爾的信用風險衡量
第一節 新巴塞爾資本協定的架構
第二節 信用風險的估計──標準法
一、主權國家債權
二、非中央等級的公營事業債權
三、國際性金融機構債權
四、銀行債權
五、證券公司債權
六、公司債權
七、零售債權
八、住宅不動產擔保之授信
九、商用不動產擔保之授信
十、逾期放款
十一、高風險債權
十二、資產負債表外專案
第三節 信用風險的估計──內部評等法
一、資產類別
二、基礎與進階內部評等基準法
三、公司、主權國家、及銀行暴險的法定資本計算
四、零售暴險的法定資本計算
五、權益暴險的法定資本計算
六、購入應收帳款暴險的法定資本計算
第四節 結語
第三章 信用計量法的信用風險衡量
第一節 信用計量法的計算流程
一、計算的流程
二、資料的需求
三、模型的產出
第二節 單一金融工具信用風險值的計算
一、計算步驟
二、實例說明
第三節 金融工具投資組合的信用風險值計算
一、聯合機率
二、投資組合風險值
三、邊際風險
四、兩種以上金融工具投資組合的信用風險計算
五、經濟資本
第四節 其他金融工具的信用暴險計算
一、應收帳款
二、債券及放款
三、放款承諾
四、金融信用狀
五、市場驅動的金融工具
第五節 結語
參考文獻
第四章 穆迪KMV公司的信用風險衡量
第一節 違約機率的估計
一、資料的需求
二、EDF的求算過程
三、EDF與信用評等
 第二節 信用損失分配與信用風險值
一、預期違約機率的估計
二、信用工具的評價
三、超額報酬率、預期損失率、及信用風險的求算
四、投資組合的信用風險計算
五、實例說明
六、風險貢獻
 第三節 風險中性準違約機率
 第四節 違約相關性
 第五節 結語
 參考文獻
第五章 信用風險加成模型的信用風險衡量
 第一節 信用風險的衡量
一、資料投入
二、風險衡量期間
三、信用風險加成模型的衡量過程
四、集中風險與部門分析
 第二節 經濟資本
一、經濟資本的估計方法
二、經濟資本的好處與特徵
三、情境分析
四、損失控制機制
 第三節 信用風險加成模型的應用
一、信用損失準備的提撥
二、風險基礎的信用限額
三、投資組合管理
 第四節 信用風險加成模型實例介紹
 第五節 結語
 參考文獻
第六章 信用投資組合觀法的信用風險衡量
 第一節 信用投資組合觀法的特點
一、信用投資組合觀法的特點
二、五項直覺性的觀察
三、損失分配
 第二節 損失的衡量方法
一、總體經濟狀況的模擬
二、部門違約指標的定義
三、評等轉移矩陣的修正
 第三節 信用投資組合觀法實例介紹
一、確定經濟狀況
二、確定產業違約機率
三、投資組合違約損失分配的求算
 第四節 結語
 參考文獻
第七章 信用風險模型的比較
 第一節 模型的建構概念
一、風險衡量期間的選擇
二、風險分類
三、資料需求
四、風險驅動因素
五、條件與無條件模型
六、預期違約機率 評等轉移矩陣的估計方法
七、違約機率及其波動性
八、信用事件相關性的計算
九、信用損失的機率密度函數
十、損失的衡量方法
十一、信用風險彙總方法
 第二節 信用風險模型的比較研究
 第三節 結語
 參考文獻
 
第八章 總結
第二章
Basel Committee on Banking Supervision (2004), “International Convergence of Capital Measurement and Capital Standards: A Revised Framework,” Basel Report, June, pp. 1-239.
第三章
Asarnow, E. and J. Marker (1995), “Historical Performance of the U. S. Corporate Loan Market: 1988-1993,” Commercial Lending Review, 10:2, pp. 13-32.
Black, F. and M. S. Scholes (1973), “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81:3, pp. 637-59.
Carty, L. V. and D. Lieberman (1996), Corporate Bond Defaults and Default Rates 1938-1995. New York: Moody’s Investors Service.
Crouhy, M., D. Galai, and R. Mark (2000), “A Comparative Analysis of Current Credit Risk Model,” Journal of Banking and Finance, 24:1-2, pp. 59-117.
Finger, C. C. (1998), “Credit Derivatives in CreditMetrics,” CreditMetrics Monitor, Q3, pp. 13-27.
Gupton, G. M., C. Finger, and M. Bhatia (1997), CreditMetricsTM Technical Document. http://www.riskmetrics.com/techdoc.html.
Lloyd, W. and K. Telikepali (1998), “Managing Credit Risk with CreditMetrics and Credit Derivatives,” CreditMetrics Monitor, Q1, pp. 3-16.
Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29:5, pp. 449-470.
Saunders, A. and L. Allen (2002), Credit Risk Measurement: New Approaches to Value at Risk And Other Paradigms, 2nd ed. New York: John Wiley & Sons.
Standard & Poor’s (1996), CreditWeek, April 15, pp. 44-52.
Zangari, P. (1997), “On Measuring Credit Exposure,” RiskMetricsTM Monitor, Q1, pp. 3-22.
第四章
曾令寧、黃仁德 (2003),〈信用投資組合法及投資組合管理法的信用風險模型〉,《存款保險資訊季刊》,17:2,頁76-90。
Black, F. and M. S. Scholes (1973), “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81:3, pp. 637-59.
Bohn, J. R. (2000), “A Empirical Assessment of a Simple Contingent-Claims Model for the Valuation of Risky Debt,” Journal of Risk Finance, 1:4, pp. 55-77.
Crosbie, P. and J. Bohn (2003), Modeling Default Risk Modeling Methodology, Moody’s KMV Company. http://www.moodyskmv.com/research/defaultrisk.html.
Crouhy, M., D. Galai, and R. Mark (2000), “A Comparative Analysis of Current Credit Risk Model,” Journal of Banking and Finance, 24:1-2, pp. 59-117.
Jarrow, R. and S. Turnbull (1996), Derivative Securities. Ohio: South-Western College.
Kealhofer, S. and J. R. Bohn (2001), Portfolio Management of Default Risk, Moody’s KMV Company. http://www.moodyskmv.com/research/portfoliotheory.html.
Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29:5, pp. 449-470.
Saunders, A. and L. Allen (2002), Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 2nd ed. New York: John Wiley & Sons.
Sharpe, W. F. (1966), “Mutual Fund Performance,” Journal of Business, 39:1, pp. 119-138.
Wilmott, P. (1998), Derivatives: The Theory and Practice of Financial Engineering. New York: John Wiley & Sons.
第五章
Carty, L. V. and D. Lieberman (1996), Defaulted Bank Loan Recoveries. New York: Moody’s Investors Service.
Carty, L. V. and D. Lieberman (1997), Historical Default Rates of Corporate Bond Issuers, 1920-1996. New York: Moody’s Investors Service.
Credit Suisse Financial Products (1997), CreditRisk+: A Credit Risk Management Framework, Technical Document. http://www.csfb.com.
Crosbie, P. and J. Bohn (2003), Modeling Default Risk Modeling Methodology, Moody’s KMV Company. http://www.moodyskmv.com/research/defaultrisk.html.
Crouhy, M., D. Galai, and R. Mark (2000), “A Comparative Analysis of Current Credit Risk Model,” Journal of Banking and Finance, 24:1-2, pp. 59-117.
Rohatgi, V. K. (1976), An Introduction to Probability Theory and Mathematical Statistics. New York: John Wiley & Sons.
Saunders, A. and L. Allen (2002), Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 2nd ed. New York: John Wiley & Sons.
Smithson, C. (2003), Credit Portfolio Management. New York: John Wiley & Sons.
Vazza, D. and D. Aurora (2004), EU 2003 Annual Default Study & Rating Transitions. New York: S&P Global Fixed Income Research.
第六章
Nickell, P., W. Perraudin, and S. Varotto (2001), “Stability of Rating Transitions,” Journal of Banking and Finance, 24:1-2, pp. 203-228.
Saunders, A. and L. Allen (2002), Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 2nd ed. New York: John Wiley & Sons.
Smithson, C. (2003), Credit Portfolio Management. New York: John Wiley & Sons.
Standard & Poor’s (1996), CreditWeek, April 15, pp. 44-52.
Wilson, T. C. (1997a), “Measuring and Managing Credit Portfolio Risk — Part 1: Modelling Systemic Default Risk,” Journal of Lending and Credit Risk Management, 79:11, pp. 61-72.
Wilson, T. C. (1997b), “Portfolio Credit Risk (I),” Risk, 10:9, pp. 111-117.
Wilson, T. C. (1997c), “Portfolio Credit Risk (II),” Risk, 10:10, pp. 56-62.
Wilson, T. C. (1998), “Portfolio Credit Risk,” Economic Policy Review-Federal Reserve Bank of New York, pp. 71-82.
第七章
Basle Committee on Banking Supervision (1999), “Credit Risk Modeling: Current Practices and Applications,” Basle Report.
Crouhy, M., D. Galai, and R. Mark (2000), “A Comparative Analysis of Current Credit Risk Model,” Journal of Banking and Finance, 24:1-2, pp. 59-117.
Gordy, M. (2000), “A Comparative Anatomy of Credit Risk Model,” Journal of Banking and Finance, 24:1-2, pp. 119-149.
Institute of International Finance and International Swaps and Derivatives Association (2000), “Modeling Credit Risk: Joint IIF/ISDA Testing Program,” Regulatory Report.
Kern, M. and B. Rudolph (2001), “Comparative Analysis of Alternative Credit Risk Models-An Application on German Middle Market Loan Portfolios,” CFS Working Paper, No. 2001/03. http://www.ifk-cfs.de/papers/01_03.pdf.
Koyluoglu, H. U. and A. Hickman (1998), A Generalized Framework for Credit Risk Portfolio Models. New York: Oliver Wyman & Company.
Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29:5, pp. 449-470.
Saunders, A. and L. Allen (2002), Credit Risk Measurement: New Approaches to Value at Risk And Other Paradigms, 2nd ed. New York: John Wiley & Sons.
Smithson, C. (2003), Credit Portfolio Management. New York: John Wiley & Sons.
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