臺灣博碩士論文加值系統

本論文的主要目的為根據債務人及擔保品的性質建構一個能區別 LGD 相對高低的估計模型，期望能夠作為銀行邁向採用內部評等法來計算信用風險應計資本的參考依據。本研究以結構模型為基礎，分別建構沒有擔保品、擔保品價值為固定及擔保品價值為隨機三個不同情況下 LGD 的估計模型，特別是在擔保品價值為隨機的模型中，能夠考量擔保品與公司資產價值的相關性及擔保品價值波動度對 LGD 的影響。在實證分析中觀察出擔保品與公司資產價值之間的相關性會對 LGD 有重大的影響。相同的違約機率之下，如果擔保品與公司資產價值的相關性愈大，LGD 就會愈高；除此之外，擔保品的流動性高低對 LGD 也有重要的影響，因為擔保品的流動性太低會造成違約之後的變現能力太差，讓回收價值大幅減少，使 LGD 大幅提高。

The purpose of this article is to construct a loss given default (LGD) estimation model which can discriminate LGD from different characteristics of obligation and collateral, and to offer a reference model for bank that will adopt Advance Internal Rating Based Approach to determine capital requirement of credit risk. This article is based on structured model to construct three different kinds of LGD estimation model which including the loan has no collateral, collateral value is constant and collateral value is stochastic. Specific to the model that concern collateral value is stochastic can take into account the correlation between collateral value and firm’s value, the volatility of collateral value and the volatility of assets value.
In empirical analysis we find that the correlation between collateral value and firm’s assets value has significant effect on LGD. Under the same PD, higher correlation between collateral value and firm’s assets value resulting higher LGD. The liquidity of collateral is also an important factor that effect LGD. If the liquidity of collateral is low, it is more difficult to sell collateral to third party and will increase LGD.

目 錄
摘要...................................................Ⅰ
Abstract...............................................Ⅱ
誌謝詞.................................................Ⅲ
目錄...................................................Ⅳ
圖表目錄...............................................Ⅵ
第一章 緒論
第一節 研究動機與目的............................... 1
第二節 研究架構..................................... 3
第二章 文獻回顧
第一節 違約損失率的定義............................. 4
第二節 信風險模型相文獻............................. 4
第三節 違約損失率相關文獻........................... 5
第三章 研究方法
第一節 沒有擔保品情況下， LGD 的估計模型............ 7
第二節 擔保品價值為固定的情況下， LGD 的估計模型.... 9
第三節 擔保品價值為隨機的情況下， LGD 的估計模型.... 11
第四章 實證結果與分析
第一節 模型的動態預估效力分析
第一小節 研究期間與資料來源..................... 14
第二小節 參數估計............................... 15
第三小節 實證結果............................... 17
第二節 擔保品性質及公司性質對LGD的影響
第一小節 研究期間與資料來源..................... 21
第二小節 參數估計............................... 22
第三小節 實證結果............................... 22
第五章 結論與建議
第一節 重要結論..................................... 33
第二節 未來研究建議................................. 34
參考文獻............................................... 35
附錄A.................................................. 37
附錄B.................................................. 41
附錄C.................................................. 45
附錄D.................................................. 47

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