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研究生:劉芹慧
研究生(外文):Chin-Hui Liou
論文名稱:資產相關係數在新巴塞爾資本協定中的應用-臺灣企業信用曝險實證分析
論文名稱(外文):The Application of Asset Correlation in Basel II-An Empirical Analysis of Taiwan Corporate Credit Exposures
指導教授:李詩政李詩政引用關係
學位類別:碩士
校院名稱:元智大學
系所名稱:會計學系
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:45
中文關鍵詞:新巴塞爾資本協定內部評等法資產相關係數公司價值模型
外文關鍵詞:The New Basel Accordinternal ratings-based (IRB) approachAsset CorrelationMarket Correlation Model
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2004年公佈之新版巴塞爾資本協定(簡稱Basel II)內部評等法下,係運用單因子模型的概念在計算資本適足之風險權數公式,其規定資產相關係數之範圍介於0.12至0.24之間,且資產相關係數與違約機率為負向關係。由於此部份未普遍受到相關理論與實證支持,如Dietsch and Petey (2004) 發現資產相關係數與違約機率之關係並非如巴塞爾資本協定所言為負向關係,而是呈現U型關係;Duchemin、Laurent and Schmit (2003)發現違約機率與資產相關係數之關係並未呈現負相關;Düllmann and Scheule (2003)則未明確發現資產相關係數與違約機率的關係;而Lopez(2004)則發現資產相關係數與違約機率的關係為負向關係。
本篇研究透過1991年至2006年台灣上市櫃公司資訊,以比較新協定之單因子信用風險模型與本文所採用之公司價值模型間所估計之資產相關係數之差異,並探討資產相關係數與違約機率、公司規模以及景氣循環的關聯性,以避免金融機構在計提資本時產生偏誤。本研究主要實證結果如下:(1)公司價值模型所估算出的資產相關係數明顯低於新巴塞爾模型的資產相關係數,因此若以新巴塞爾之規定計提法定資本,會有過度計提之情事發生。(2)資產相關係數與違約機率為負向關係,且(3)資產相關係數與公司規模亦為負向關係,由於本研究實證結果與新巴塞爾模型之關係不完全一致,故當計提法定資本時會產生偏誤。因此當台灣與國際接軌採用新資本協定時,主管機關須考量台灣之政經環境,對新協定之規範加以改良,而不可一體適用之。(4)本研究亦探討景氣循環對資產相關係數之影響,可發現資產相關係數與景氣循環呈現顯著正向關係,也就是說景氣循環是一個重要影響新資本協定的因素,故巴塞爾委員會應加以思考其影響力。
Internal ratings-based approach (IRB approach) was published by a Revised Framework on International Convergence of Capital Measurement and Capital Standards (the so-called Basel II) in 2004. The Asymptotic Single Risk Factor (ASRF) model was applied to IRB approach to calculate credit capital requirements. Under the foundation IRB (FIRB) approach, asset correlation is the key factor for determining the capital requirement (K) calculation in the risk-weight function. It simply assumed the range of asset correlation are between 0.12 and 0.24, and asset correlation was defined as a decreasing function of probability of default(PD). Because of the lack of theoretical background for this function, such as Dietsch and Petey (2004) , who find their results contrary to the assumption of the Basel proposal, and show no negative relationship between asset correlation and PD, which is a U-Shaped relationship. Duchemin、Laurent and Schmit (2003) , who show no negative relationship between asset correlation and PD. Düllmann and Scheule (2003), who find ambiguous relationship between asset correlation and PD. And Lopez (2004), who shows average asset correlation is a decreasing function of PD.
In this study, we will try to build a proper credit risk pricing model (which I called Market Correlation Model) which can reflect the state of economy to estimate asset correlation, and than compare with the standard of the Basel II. We use stock market and financial statement data of Taiwan public firms over the period 1991-2006 to solve the Market Correlation model, and then make use of these results to compute asset correlation, and discuss the relationship among asset correlation, PD, firm size and business cycles to avoid occurring bias on determining the capital requirement calculation in the risk-weight function. Three main conclusions emerge from the analyses of this new method: (i) Asset correlation is lower than the standard of the Basel II, and it means its occurred overstated situation for determining the regulatory capital requirement. (ii) Asset correlation is a decreasing function of PD, and (iii) negative relationship between asset correlation and firm size. And because of these dissimilar relationship with Basel II, if we adopt the standard of the Basel II in Taiwan, regulator should consider political and economic environment itself to avoid product bias situation. (iv) Asset correlation is an increasing function of business cycles, it means business cycles is also a key factor for determining the regulatory capital requirement in New Basel Accord, thus The Basel Committee on Banking Supervision (BCBS) should think about its influence.
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 論文架構 4
第貳章 文獻探討 5
第參章 理論模型 11
第一節 公司價值模型 11
第二節 變數定義 13
第三節 資料敘述 17
第肆章 實證結果與分析 20
第一節 資產相關係數 20
第二節 影響資產相關係數之因素探討 24
第伍章 結論與建議 29
第一節 研究結論 29
第二節 研究建議與限制 30
參考文獻 31
中文部份 31
英文部分 32
附錄 新巴塞爾資本協定 35
中文部份
1.沈中華等編著,2005,「總體經濟因素在BaselⅡ資本適足率公式的內涵及意義」,金融風險管理季刊,第一卷,第二期,頁97-108。
2.張家華、沈中華, 2004,「違約率與總體經濟相關性」,信用資訊月刊, 4月號。
英文部分
1.Basel Committee on Banking Supervision (BCBS), 2003, “The new Basel Capital Accord”, Consultative Document.
2.Basel Committee on Banking Supervision (BCBS), 2005, “An explanatory note on the Basel Ⅱ IRB risk weight functions”, http://www.bis.org/bcbs/irbriskweight.pdf.
3.Bernanke B.,Gertler M. and Gilchrist S., 1995, “The financial accelerator and the fight to quality”, Review of Economics and Statistics,78(1), pp.1-15.
4.Düllmann, K. and Harald Scheule, 2003, “ Determinants of the asset correlations of German corporations and implications for regulatory capital”, Deutsches Bundesbank.
5.Duchemin, Stéphanie, Marie-Paule Laurent, Mathias Schmit, 2003, “To what extent are automotive leasing portfolios sensitive to systematic risk?”, Working paper, version10, April ,Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB) in its series Working Papers CEB with number 03-007.RS.
6.Dietsch, Michel, Petey,Joël, 2002, “The credit risk in SME loans portfolios: Modeling issues, pricing, and capital requirements”, Journal of Banking & Finance,Vol.26, pp. 303-322.
7.Dietsch, Michel, Petey,Joël, 2004, “ Should SME exposures be treated as retail or corporate exposures? A cmparative analysis of default probabilities and asset correlations in French and German SMEs”, Journal of Banking&Finance,28, pp.773-788.
8.Gordy, M.B., 2003, “A risk-factor model foundation for ratings-based bank capital rules”, Journal of Financial Intermediation, 12, pp.199-232.
9.Gordy, M.B., 2000a, “A comparative anatomy of credit risk models, Journal of Banking & Finance, 24, pp.119-149.
10.Gordy, M.B., 2000b, “Credit VAR and risk-bucket capital rules: A reconciliation”, Working Paper, Federal Reserve Board, May.
11.Hamerle, Alfred, Thilo Liebig and Daniel Rősch, 2003, “Credit risk factor modeling and the Basel Π IRB approach”, Deutsche Bundesbank Discussion Paper, Series 2: Banking and Financial Supervision, no. 2.
12.Hamerle, Alfred, Thilo Liebig and Daniel Rősch, 2003, “Benchmarking asset correlations”, Risk ,16, pp.77-81.
13.Heitfield, Erik, 2004, “Rating system dynamics and bank-reported default probabilities under the New Basel Capital Accord”, Working paper , Board of Governors of the Federal Reserve System, Washington.
14.Kjersti, A., 2005, “The Basel II IRB approach for credit portfolios: A survey”, Note SAMBA ,33, Norsk Refnesentral.
15.Kenneth, Carling, Tor, Jacobson, Jesper, Linde and Kasper, Roszbach, 2002, “Capital charges under Basel II: Corporate credit risk modelling and the Macro Economy”, Working Paper, Series 142, Sveriges Riksbank (Central Bank of Swenden).
16.Lopez, J.A., 2004, “The empirical relationship between average asset correlation, firm probability of default and asset size”, Journal of Financial Intermediation, 13, pp.265-283.
17.Linda, Allen, Anthony, Saunders, 2004, “Incorporating systemic influences into risk measurements:A survey of the literature”, Journal of Financial Services Research, 26, pp.161-191.
18.Merton, Robert C., 1974“On the pricing of corporate debt: The risk structure of interest rates", Journal of Finance, Vol. 29, pp. 449-470.
19.Paule, Marie, Laurent, Centre E. Bernheim, 2004, “Asset return correlation in Basel Π:Implications for credit risk management”, Working paper, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB) in its series Working Papers CEB with number 04-017.RS.
20.Paul, Brockman and H.J Turtle, 2003, “A barrier option framework for corporate security valuation”, Journal of Financial Economics, Vol.67(3), pp.511-529.
21.Rösch, Daniel, 2002, “Correlation and business cycle of credit risk: Evidence from bankruptcies in Germany”, Journal of Banking & Finance, Elsevier, vol. 26(2-3), pp. 445-474.
22.Resti, A., 2002, “The New Basel Capital Accord: Structure, possible changes, Micro- and Macroeconomics effects”, Report submitted to the Centre for European Policy studies(CEPS), Brussels, pp.37.
23.Sironi, Andrea , and Zazzara Crisriano , 2003 , “The Basel Committee proposals for a new capital accord:Implications for Italian banks” , Review of Financial Economics, 12, pp.99-126.
24.Siegel, Andrew F., 1995, “Measuring systematic risk using implicit beta”, Management Science 41, No.1, pp.124-128.
25.Redak, Vanessa, and Alexander Tscherteu , 2003 ,“Basel II, procyclicality and credit growth – First Conclusions from QIS 3 ”, Financial Stability Report 5.
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