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研究生:楊智凱
研究生(外文):Chih-Kai Yang
論文名稱:資產相關係數:模型和順景氣循環
論文名稱(外文):Asset Correlation: Modeling Issues and Procyclicality
指導教授:李詩政李詩政引用關係
指導教授(外文):Shih-Cheng Lee
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融學系
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:2009
畢業學年度:97
語文別:英文
論文頁數:37
中文關鍵詞:新巴賽爾資本協定一因子模型莫頓模型資產相關係數規模效果產業效果順景氣循環
外文關鍵詞:The New Basel AccordAsymptotic single risk factor (ASRF)Merton modelAsset correlationSize effectIndustry effectProcyclicality
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  • 被引用被引用:0
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本篇提供實務的方法來計算資產相關系數,比較其和違約機率、公司規模的關係和其是否有產業效果或順景氣循環(Procyclicality)的現象。藉由莫頓模型(Merton)和資本資產定價模型(CAPM)從1988到2007年間,結果發現資產相關系數和違約機率成負相關,此結果和巴賽爾資本協定所訂定的公式一致。此外,資產相關系數和公司規模亦呈正相關且存在產業效果。最後如同違約機率和違約損失率,資產相關系數亦有順景氣循環現象。更發現其不對稱的順景氣現象,也就是當景氣蕭條時,相較於景氣繁榮其和資產相關系數負相關的程度會顯著增加。在健全性考量(Robustness checks)下,不論在風險中立或是主觀違約機率,前述的結果均不改變。
We provide an empirical methodology to estimate individual asset correlation, and test their relation to default probability and test whether it has size effect, industry effect or procyclicality phenomenon. Incorporate with Merton option pricing model (OPM) and Capital asset pricing model (CAPM) in year 1988 to 2007, our results indicate that the negative relation between asset correlation and default probability, which is in line with capital requirements formula provided by Basel II. Further, we find asset correlation is positive relative to firm size and it has industry effect. Finally, like default probability and loss given default, asset correlation has procyclicality phenomenon. We further find asymmetric procyclical on asst correlation such that in recession periods, the increase in asset correlations are more pronounced compare to boom periods. For robustness checks, all of previous results do not change if we use objective default probability rather than risk-neutral world.
Contents
1. Introduction:...................................... 1
2. Literature Review.................................. 3
2.1 Risk-weight functions for credit risk in the foundation IRB approach............................... 3
2.2 The relationship between asset correlation and default probability........................................... 6
2.3 Procyclicality.....................................7
3. Methodology........................................ 8
3.1 Merton Model...................................... 8
3.2 Asset correlation and procyclicality.............. 13
4. Data Description................................... 16
4.1 Variable specification:........................... 16
4.2 Merton model result............................... 18
5. Empirical Results.................................. 19
5.1 Size effect....................................... 19
5.2 Industry effect................................... 20
5.3 Regression results................................ 21
6. Conclusions........................................ 23
References.............................................25
Appendix.............................................. 37
References
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