臺灣博碩士論文加值系統

In monetary market, we know that the lending rate of a loan commitment is composed of prime/LIBOR rate and credit spread. We consider that the credit spread have the property of mean reversion. According to this concept, we can price the loan commitment without extension and with extension. In addition, we use the primary element, interest rate, not the indebtedness value, to derive the closed form. It is different from other references.

Following liberalization and globalization of financial market, risk management is strictly important for business companies recently. BIS II will be released in the end of 2006. Compared with Basel I, it is more flexibility in Basel II, especially in credit risk. In Basel II, it permits banks to use internal ratings-based (IRB) approach to estimate credit risk. It means that banks can use models which they develop themselves to estimate credit risk after supervisory approves. So how to estimate EAD becomes important. Overall, we provided a method to estimate CCFs, and furthermore estimate EAD.

Content
CHAPTER 1 INTRODUCTION 1
1.1. BACKGROUND 1
1.2. MOTIVATION 2
1.3. EXPECTATION CONTRIBUTION 3
1.4. FRAMEWORK 4
CHAPTER 2 LITERATURE REVIEW 5
2.1. OFF-BALANCE SHEET AND STANDARDIZED APPROACH OF BASEL II 5
2.2. LOAN COMMITMENT 5
2.3. CREDIT CONVERSION FACTOR(CCF) 7
CHAPTER 3 MODEL STRUCTURE 9
3.1. PRICING LOAN COMMITMENT 9
3.1.1. The process of Loan Commitment. 9
3.1.2. Modeling and Pricing 10
3.2. PRICING LOAN COMMITMENT WITH EXTENSION 14
3.2.1. Process of Loan Commitment with Extension 14
3.2.2. Modeling and Pricing 15
CHAPTER 4 EMPIRICAL RESULTS 18
4.1. DATA 18
4.2. OUTCOMES 19
CHAPTER 5 CONCLUSION 23
REFERENCE 24
APPENDIX I 28
APPENDIX II 30

Tables
TABLE 1: PARAMETERS 18
TABLE 2: PRICE FOR LOAN COMMITMENT 19
TABLE 3: ESTIMATED RATIO OF CCFS 20
TABLE 4: RESULT OF CHATEAU AND WU (2004) 26
TABLE 5: THE EMPIRICAL RESULT OF ARATEN AND JACOBS JR.(2001) 27

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