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研究生:郭台達
研究生(外文):KUO, TAI-TA
論文名稱:非參數統計方法應用在新巴塞爾資本協定之信用風險模型-資產報酬相關係數之估計
論文名稱(外文):THE APPLICATION OF NONPARAMETRIC ESTIMATE SMOOTHER TO THE CREDIT RISK MODEL OF NEW BASEL ACCORD-FOCUSING ON THE CALCULATION OF ASSET RETURN CORRELATION
指導教授:鍾麗英鍾麗英引用關係
指導教授(外文):CHUNG, LY-INN
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:統計學系
學門:數學及統計學門
學類:統計學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:48
中文關鍵詞:新巴塞爾資產報酬相關係數非參數估計
外文關鍵詞:BASEL IIasset teturn correlationnonparametric estimate
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  資產報酬相關係數是在計算信用風險權重的主要參數之一。許多文獻所提的結論都顯示新巴塞爾資本協定中計算資產報酬相關係數的公式有修正的必要性。本研究利用在不給予任何參數化的前提假設下,揭露變數間函數相關的非參數估計統計方法建立違約距離(DD)與預期違約機率(EDF)的關係模型,用以估計借款公司之違約機率,對於國內歷史違約資料建置不全下,提供一簡單估算違約機率的算法。接著應用違約相關模型估算資產報酬相關係數,並與新巴塞爾資本協定所建議的資產報酬相關係數做比較,探討巴塞爾銀行監理委員會所發佈之「新巴塞爾資本協定」中關於資產報酬相關係數計算公式的適切性。
  在使用美國2000年到2003年上市公司為研究資料,以實證研究探討資產報酬相關係數對於違約機率與公司資產規模間的關係。實證結果中我們發現資產報酬相關係數與違約機率具有一反向關係,而資產報酬相關係數與公司資產規模大小呈現一正向關係,這兩個實證結果都與新巴塞爾資本協定中資產報酬相關係數與違約機率以及公司資產規模關係一致,不過研究估算出的資產報酬相關係數值都比新巴塞爾資本協定規定的資產報酬相關係數值低,顯示新巴塞爾資本協定對於資產報酬相關係數似乎具有過於高估傾向,仍有修改的空間與必要。在實證研究中我們亦發現違約機率的變異數對資產報酬相關係數應該同樣具有影響,因此建議新巴塞爾資本協定規定的資產報酬相關係數公式可將違約機率的變異數列入評估考量。
Asset return correlation and default probability are key factors for determining the regulatory capital requirement in credit risk model of New Basel Accord. In this thesis, we apply the nonparametric estimate smoother to estimate default probability using distance to default. The asset correlation is calculated using the estimated default probability first and then extracting the implied asset return correlation from the joint default probability. Using data of American listed companies between 2000 and 2003, we empirically examine the relationship among asset return correlation, default probability, and firm asset size. Furthermore, we also compare the implied asset return correlation in this study with the correlation calculated from the definition in New Basel Accord. The empirical results indicate that the relationship between asset return correlation and default probability is negative, and asset return correlation is an increasing function of firm size. This finding is consistent with the result of quantitative impact study in New Basel Accord. However, the implied asset return correlation from this thesis are much smaller than those calculated according to New Basel Accord. It shows that New Basel Accord tends to overestimate asset return correlation. It also suggests that the variance of default probability should be considered as a factor for calculating asset return correlation.
目錄
第一章 緒論...........................1
 第一節 研究背景與動機.....................1
 第二節 研究目的........................2
 第三節 研究流程........................3
 第四節 研究架構........................3
第二章 文獻探討.........................5
 第一節 單因子信用風險模型...................5
 第二節 違約相關模型......................9
 第三節 資產報酬相關係數....................12
第三章 研究方法.........................19
 第一節 研究架構........................19
 第二節 研究設計........................20
  一、 研究對象與研究期間...................20
  二、 資料來源........................21
  三、 選樣標準........................21
  四、 資料分析方法......................21
 第三節 研究方法........................22
  一、 違約機率........................22
  二、 非參數估計統計方法...................26
  三、 資產報酬相關係數....................28
第四章 實證分析結果.......................31
 第一節 違約機率的估算.....................31
 第二節 研究結果分析......................37
第五章 結論與建議........................44
參考文獻.............................47

表目錄
表 4-1  各年度違約頻率......................31
表 4-2  2000年違約頻率....................32
表 4-3  2001年違約頻率....................33
表 4-4  2002年違約頻率....................33
表 4-5  2003年違約頻率....................34
表 4-6  不同平滑參數K之CV...................35
表 4-7  LOWESS(K=4)配適之EDF值...........37
表 4-8  EDF估計值之統計量...................37
表 4-9  在EDF分群下之資產報酬相關係數.............38
表 4-10 在資產規模分群下之資產報酬相關係數............39
表 4-11 在EDF分群與資產規模分群下之研究樣本個數........40
表 4-12 在EDF分群與資產規模分群下之平均EDF值........41
表 4-13 在EDF分群與資產規模分群下之EDF值之標準差......41
表 4-14 在EDF分群與資產規模分群下之資產報酬相關係數......41
表 4-15 在EDF分群與資產規模分群下之BASEL II
     的資產報酬相關係數....................43

圖目錄
圖 1-1 研究流程.........................3
圖 3-1 研究架構流程.......................20
圖 3-2 違約距離與預期違約機率對應圖...............25
圖 4-1 各年度與平均違約頻率曲線.................32
圖 4-2 不同非參數統計方法對EDF之平滑曲線...........35
圖 4-3 CV值在不同平滑參數值之趨勢...............36
圖 4-4 LOWESS模型下DD值與EDF值配適之關係曲線.....36
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2.Greg M. Gupton, Christopher C. Finger and Mickey Bhatia, 1997,“CreditMetrics™ - Technical Document,”New York: J. P. Morgan.
3.Cristiano Zazzara, 2001,“Credit Risk in the Traditional Banking Book: a VaR approach under correlated default,”Research in Banking and Finance, 2, 355-384.
4.Robert C. Merton, 1974,“On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,”Journal of Finance, 29, 449-470.
5.Michael B. Gordy,2000,“A comparative anatomy of credit risk models,“ Journal of Banking & Finance, 24, 119-149.
6.Stephanie Duchemin, M.P. Laurent, and Mathias Schmit, 2003, “Asset return correlation and Basel II:The case of automotive lease portfolios,” Solvay Business School Working Paper.
7.Michel Dietsch and Joël Petey, 2004,“Should SMEs exposures be treated as retail or corporate exposures-- A comparative analysis of default probabilities and asset correlations in French and Garman SMEs”, Journal of Banking & Finance, 28, 773-788.
8.Jose A. Lopez, 2004,“The empirical relationship between average asset correlation, firm probability of default, and asset size”, Journal of Banking & Finance, 13, 265-283.
9.M.P. Laurent, 2004, “Asset return correlation in Basel II: Implications for Credit Risk Management,” Solvay Business School Working Paper.
10.Edwrad I. Altman, 2005,“Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs,”Journal of Financial Services Research, 28, 15-42.
11.Basel Committee on Banking Supervision, 1988,“International convergence of capital measurement and capital standards,” Basel Committee Publications July No. 4.
12.Basel Committee on Banking Supervisory, 2001a,“The Internal Ratings-Based Approach,”The New Basel Capital Accord, Second Consultative Paper, Supporting documents.
13.Basel Committee on Banking Supervisory, 2002, QIS 3 Technical Guidance, consultative document, Bank of International Settlements, October.
14.Klaus Dulmann, Harald Scheule, 2003,“Determinants of Asset Correlation of German Corporations and Implications for Regulatory Capital” University of Regensburg Working Paper.
15.Daniel Rösch, 2003,“Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany,”Financial Markets and Portfolio Management, 17, 309-331.
16.Eva Catarineu-Rabell, Patricia Jackson and Dimitrios P. Tsomocos, 2003,“Procyclicality and the New Basel Accord-Banks' Choice of Loan Rating System,”Bank of England Quarterly Bulletin, 43, 59-59.
17.Michel Crouhy, Dan Galai and Robert Mark, 2000,“A comparative analysis of current credit risk models,”Journal of Banking & Finance, 24, 59-117.
18.Michael B. Gordy, 2003,“A risk-factor model foundation for ratings-based bank capital rules,”Journal of Financial Intermediation, 12, 199-232.
19.Paul Brockman and H.J. Turtle, 2003,“A barrier option framework for corporate security valuation,”Journal of Financial Economics, 67, 511-529.
20.Roland Kirstein, 2002,“The New Basle Accord, Internal Ratings, and the Incentives of Banks,”International Review of Law and Economics, 21, 393-412.
21.T. J. Hastie, R. J. Tibshirani, ”Generalized Additive Models”, CHAPMAN AND HALL.
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