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研究生:陳雅惠
研究生(外文):Ya-Hui Chen
論文名稱:馬可夫鏈蒙地卡羅法於結構式信用風險模型之應用
論文名稱(外文):Application of Markov Chain Monte Carlo to Structural Credit Risk Model
指導教授:杜玉振杜玉振引用關係
指導教授(外文):Yu-Chen Tu
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:69
中文關鍵詞:結構式信用風險模型違約機率KMV模型Leland模型馬可夫鏈蒙地卡羅法
外文關鍵詞:structural credit risk modelsdefault probabilityKMV Model
相關次數:
  • 被引用被引用:3
  • 點閱點閱:814
  • 評分評分:
  • 下載下載:204
  • 收藏至我的研究室書目清單書目收藏:1
近年來,國內企業財務危機頻傳,金融機構信用風險的預測能力
,頓時成為經營健全與否的關鍵。在結構式信用風險模型的過去文獻中,對於公司資產價值與資產價值波動性的估計,常忽略權益價值波動性會隨著時間而變動的事實,亦即忽略參數不確定性現象,而造成訂價偏誤。近年來採用的最大概似估計法雖可解決參數不確定性問題
,卻又面臨高維度最佳化計算的困難、不實際的標準差漸近概似值;而本研究所採用的馬可夫鏈蒙地卡羅法(MCMC法),不但可解決參數不確定性問題,亦使高維度最佳化的計算過程變得簡單,對應用性研究提供一個較精確又簡便的實例。
另外,KMV(1995)模型(違約點外生)、Leland(1994)模型(違約點內生)均為當代實務普遍使用的信用風險模型,本研究嘗試透過MCMC法估計Leland模型參數,並比較其違約預測能力,可找出適合台灣上市公司違約預警的較佳模型,對國內金融市場的穩定有具體助益。

本文實證結果發現,Leland模型認為稅與破產成本會對公司資產價值產生影響及透過MCMC法估計模型中的參數,Leland模型與MCMC法的結合將明顯地提升在台灣市場的違約預測能力,並且能於企業爆發信用事件之前有效地提早發出違約預警的訊號。
In the recent years, many companies in Taiwan face financial distress, and therefore the early-warning ability of credit risk becomes the key determinant of operational performance of financial institutions. However, the prior studies about the structural credit risk models typically calibrating asset volatility from the observed volatility of equity always ignored time-variation in equity volatility, and could result in unrealistic parameter estimates and asset mispricing. Some subsequent studies incorporating pricing errors and parameter uncertainty in maximum likelihood method are feasible. Nevertheless, the maximum likelihood method is computationally slow as it relies on high-dimensional optimization, and resorts to asymptotic approximations for standard errors and can also suffer from unrealistic in practice. Based Markov Chain Monte Carlo (MCMC) methods, this study can easily obtain the parameters from posterior distributions without resorting to asymptotic approximations, and prices on multiple securities for state variable dynamics can be simultaneously estimated leading to tighter parameter estimates. In short, this study can provide an easier computation process and more accurate results in the field of empirical research.
Furthermore, the KMV(1995) model with exogeneous default point and Leland(1994) with endogeneous bankruptcy threshold are two popular credit risk models today. This study therefore will employ MCMC methods estimate the parameters of Leland model, and then compare the two expected default probabilities. Finally, the optimal credit risk model for Taiwan listed-stock firms will be found.
Our empirical results indicate that Leland model think that tax and bankruptcy cost will influence the market value of the firm’s assets and employ MCMC method estimate the parameters. Leland model combine with MCMC method will provide more powerful ability to discriminate high default risk firms from low default risk firms, and also can signal the early warning signs before the credit events effectively.
第壹章 緒論
第一節 研究背景與動機---------------------------------------------1
第二節 研究目的------------------------------------------------------7
第三節 研究架構------------------------------------------------------8
第貳章 文獻探討
第一節 信用風險模型-------------------------------------------------10
一、 結構式模型(Structural Model)----------------------11
二、 縮減式模型(Reduced form model)-----------------15
三、 國內相關文獻回顧----------------------------------------17
第二節 馬可夫鏈蒙地卡羅法相關文獻----------------------------18
一、 吉氏抽樣法(Gibbs sampler)-------------------------20
二、 Metropolis-Hastings演算法-----------------------------20
三、 國內相關文獻回顧---------------------------------------21

第參章 研究方法
第一節 結構式信用風險模型------------------------------------22
一、 KMV(1995)模型---------------------------------------22
二、 Leland(1994) 模型-------------------------------------27
第二節 馬可夫鏈蒙地卡羅法(MCMC法)------------------28
一、 蒙地卡羅積分-------------------------------------------29
二、 馬可夫鏈過程-------------------------------------------29
三、 MCMC的演算法----------------------------------------30
第四章 實證分析
第一節 資料選取與來源-------------------------------------------34
第二節 變數選取與定義-------------------------------------------35
第三節 實證結果與分析-------------------------------------------37
第五章 結論與建議-------------------------------------------------------46
參考文獻----------------------------------------------------------------------48

附錄
一、台灣經濟新報資料庫對財務危機的定義--------------------54
二、危機公司彙總表----------------------------------------55

圖目錄

圖1:MCMC模擬序列(trace)----------------------------39
圖2:MCMC之Z-Score-----------------------------------------------------40
圖3:MCMC之Kernel density---------------------------------------------40

表目錄


表1:MCMC法Geweke convergence giagnostic之Z-Score值與
p-value(益華公司)-----------------------------------------------39
表2:MCMC法summary statistics(益華公司)-------------------41
表3:樣本公司違約機率表---------------------------------------------- 42
中文部份
期刊:
1.李沃牆、許峻賓(2004),「銀行授信風險管理-KMV模型於財務預警之實證研究」,建華金融季刊,第二十六期,頁97~138。
2. 林達榮、林安城(2004),「提前違約風險下專案融資之評價模式」,風險管理學報第六卷,第一期,頁57~83。
論文:
1.江欣怡(2004),「企業危機預警模型在台灣的應用與比較」,
東吳大學國際貿易研究所未出版碩士論文。
2.杜化宇、任紀為(2005),「外匯選擇權的定價與馬可夫鏈蒙地卡
羅法的應用」,風險管理學報 ,第七卷, 第三期,237-277。
3.林妙宜(2002),「公司信用風險之衡量」,政治大學財務管理研
研究所未出版碩士論文。
4. 徐佳鈺( 2004),「企業違約風險之衡量-選擇權評價模型之應用」,國立高雄第一科技大學金融營運系未出版碩士論文。
5.陳淑真(2005),「以障礙選擇權模型估算公司違約機率之研究」,碩士論文,銘傳大學財務金融系。
6.溫存沛( 2006),「迴歸模型含缺失資料的估計比較」,逢甲大
學統計與精算研究所未出版碩士論文。
7.劉維中( 2006),「結構性信用風險模型之實證」,國立中興大
學財務金融研究所未出版碩士論文。
8.賴崑榮( 2006),「馬可夫鏈蒙地卡羅法於貝氏賠款準備金模型
之應用」,逢甲大學統計與精算研究所未出版碩士論文。
書藉:
1.洪維恩(2006),「Matlab7程式設計」,台北:旗標出版股份有限公
司。
2.陳達新、周恆志(2006),「財務風險管理:工具、衡量與未來發展」,台北:雙葉書廊有限公司。
3.楊奕農(2007),「時間序列分析經濟與財務上之應用」,台北:雙葉書廊有限公司。








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