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研究生:施畊宇
研究生(外文):Shih,Keng-Yu
論文名稱:資產相關性:以台灣金融業為例
論文名稱(外文):Asset Correlation : Taiwan Banking Industry study case
指導教授:沈中華沈中華引用關係
指導教授(外文):Shen, Chung-Hua
學位類別:碩士
校院名稱:國立政治大學
系所名稱:經濟研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:英文
論文頁數:42
中文關鍵詞:資產相關性倒帳相關性倒帳機率巴塞爾協定台灣金融業
外文關鍵詞:Asset CorrelationDefault CorrelationDefault ProbabilityBasel ⅡTaiwan Banking Industry
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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
Asian Development Bank (2001), “A regional Early Warning System Prototype for East Asia”, Regional Economic Monitoring Unit.
Basel Committee on Banking Supervision (2004), “International Convergence of Capital Measurement and Capital Standards”, Bank for International Settlement, June.
Black, F., Scholes, M. (1973). “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, 637-654.
Goldstein, M., Graciela, L. K. and Carmen, M. R. (2000), “Assessing Financial Vulnerability: An Early Warning System for Emerging Markets”, Institute for International Economics, Washington, DC, June.
Gordy, M. B. (2000), “A Comparative Anatomy of Credit Risk Models”, Journal of Banking & Finance: 119-149.
Gordy, M. B. (2003), “A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules”, Journal of Financial Intermediation: 199-232.
Greene, W. H. (2003), “Econometric Analysis”, Fifth Edition.
Hamerle, A., Liebig, T. and Rösch, D. (2003), “Credit Risk Factor Modeling and the Basel Ⅱ IRB Approach”, Discussion Paper, No. 02/2003, Deutsche Bundesbank.
Hamerle, A., Liebig, T. and Rösch, D. (2004), “Benchmarking Asset Correlations”, Deutsche Bundesbank.
Hamerle, A., Liebig, T. and Scheule, H. (2004), “Forecasting Credit Portfolio Risk”, Discussion Paper, No. 01/2004, Deutsche Bundesbank.
Jarrow, R. A., Lando, D., Turnbull, S.M. (1997), “A Markov Model of the Term Structure of Credit Spreads”, Review of Financial Studies 10.
KMV (2001), “An Empirical Assessment of Asset Correlation Models”.
KMV (2001), “Response to JP Morgan’s paper “Using Equities to Price Credit””.
KMV (2001), “Measuring Credit Correlations: Equity Correlations Are Not Enough!”.
Koyluoglu, H.U. and Hickman, A. (1998), “A Generalized Framework for Credit Risk Portfolio Models”, Working Paper, Oliver, Wyman & Co.
Lopez, J. A. (2002), “The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size”. Working Paper in Applied Economic Theory, 2002-05, Federal Reserve Bank of San Francisco.
Lucas, D.J. (1995), “Default Correlation and Credit Analysis”, Journal of Fixed Income, 76-87.
Merton, R. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance, 29, 449-470.
Nagpal, K., Bahar, R. (2001), “Measuring Default Correlation”, Risk, March, 129-132.
Shen, C. H. (2003), “Drawbacks and Improvements in Basel Ⅱ (in Chinese)”, Taiwan Banking and Finance Quarterly, 4(1):1-17.
Shen, C. H. and Chih, H. L. (2005), “Investor Protection, Prospect Theory, and Earning Management: An International Comparison of the Banking Industry”, Journal of Banking and Finance,
Shen, C. H and Huang, A. H. (2003), “Are Performance of Banks and Firms Linked? And if so, why?”, Journal of Policy Modeling, 5315:1-18.
Wooldridge, J. M. (2002), “Introductory Econometrics: A Modern Approach”
Wu, Y. J., (2003), “Studies on Taiwan Financial Crisis Warning System”, Central Bank of China: 25-3.
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