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研究生:林威助
研究生(外文):Wei-Chu Lin
論文名稱:臺灣銀行業失敗預警模型之研究
論文名稱(外文):Analyzing the Early Warning of Bank Failure Models in Taiwan
指導教授:許振明許振明引用關係
指導教授(外文):Chen-Min Hsu
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:經濟學研究所
學門:社會及行為科學學門
學類:經濟學類
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:61
中文關鍵詞:截斷規模參數無參數模型半參數模型參數模型Cox比例危機模型參數比例危機模型加速失敗時間模型
外文關鍵詞:censorscale parameternon-parametric modelsemi-parametric modelparametric modelCox proportional hazards modelparametric proportional hazards modelsaccelerated failure-time models
相關次數:
  • 被引用被引用:3
  • 點閱點閱:675
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
本研究目的在利用銀行財務指標分析銀行預警模型,探討2002年至2008年間臺灣地區正常與危機銀行的危機函數模型,實證研究以2001年為基準。利用因素分析中主成份分析法選取各種財務指標,將因素透過直交轉軸之變異數最大法,發現預警銀行失敗函數的六項因素,包含營運、規模、資產品質、資本適足、流動性、成長性等因素。實證結果發現存活分析之模型以參數模型配適程度較半參數模型與無參數模型為佳,由加速失敗時間模型迴歸結果發現係數具顯著之解釋能力,且與預期方向一致。最後顯示在Log-logistic模型下,財務指標因素可以正確預測銀行失敗的論證。
The purpose of this research is to analysis the early warning of bank failure models using bank financial indicators and discuss the hazard function of healthy and default banks in Taiwan from 2002 to 2007, the year 2001 is a benchmark year. Factor analysis using Principal components method, and rotating the factor-loading matrix by the varimax method, this research shows that a bank will fail is a function of variables related to six financial indicators, including banking operations , assets quality, bank scale, capital adequacy, liquidity and growing. Empirical results show that the parametric model is superior to the semi-parametric model and the non-parametric model, as the majority of the regressors in the accelerated failure-time model are significant with the correct sign. Overall, the Log-logistic Model is advanced to indicate how the financial indicators can lead to the failure of the banks, and demonstrate good accuracy.
口試委員會審定書∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙i
誌謝∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ii
中文摘要∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙iii
英文摘要∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙iv
目錄∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙v
表目錄∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙vi
圖目錄∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙vii
第一章 研究目的與架構∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙1
1.1 研究目的∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙1
1.2 研究架構∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙3
第二章 研究文獻∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙4
第三章 研究方法∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙6
3.1 存活模型與危機模型∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙6
3.1.1 無參數危機模型∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙9
3.1.2 半參數危機模型∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙10
3.1.3 參數危機模型∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙11
3.2 因素分析∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙19
第四章 實證結果∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙29
4.1 資料分析∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙29
4.2 無參數分配模式之配適∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙31
4.3 半參數分配模式之配適∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙34
4.4 參數分配模式之配適∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙39
第五章 研究結論∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙54
5.1 研究結論∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙54
5.2 研究建議∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙56
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