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研究生:盧奕廷
研究生(外文):I-Ting Lu
論文名稱:存款保險費率之差別地價-以Copula函數配合KMV估算
論文名稱(外文):Pericing Discrimmination in Deposit Insurance Rate-Application of Copula Function and KMV Model
指導教授:蔡錦棠蔡錦棠引用關係
指導教授(外文):Jiln-Tarunj Tsay
學位類別:碩士
校院名稱:國立臺北商業技術學院
系所名稱:財務金融研究所
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:2010
畢業學年度:98
語文別:中文
論文頁數:46
中文關鍵詞:存款保險差別費率信用合作社KMVCopulaCRRA
外文關鍵詞:Deposti InsurancePricing DiscriminationKMVCopulaCRRA
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自從BaselII公布實施後,各種信用風險模型的建置與發展如雨後春筍般出現,以關聯結構(Copula)方法應用在信用風險管理上,大部分都是應用在擔保債權憑證(CDO)及風險管理上,而本文試著使用Coupla函數建構信用風險評價模式,並結合KMV公司所發展之模型去估計參數,進而推算出銀行與信用合作社之存款保險費率為參數,與現行中央存保公司存款保險之差別費率作比較,試算保險費率是否被高估或低估。比較的過程中額外加入CRRA效用函數及使用無風險利率作為參數,以多角度去看待存款保險費率的計算方法,看哪一種方法下較能改善現行存款保險制度。最後以三種方法估算下,都一致性的顯示中央存款保險公司之費率均低估,均可列入重點觀察對象,作為調整存保費率之參考。
After the implementation of Basel II from various credit risk model built, it appears that the application of Copula function on credit risk management become main steam of risk management, especially apply it on Collateralized Debt Obligation(CDO)and use it to find the value at risk. This study tries to apply Copula function and KMV Model to develop credit risk evaluation models and use them to find the fair deposit insurance premium rates of Central Deposit Insurance Corporation(CDIC). We use risk neutral and expected utility approaches to estimate the fair deposit insurance rate for banks which are listed in the Taiwan Stock Exchange. We found that the rates are undervalued in both approaches for most of the banks. The undervalued problem is much more severe inn the low interest sate era. The current deposit insurance rate range form 0.0003 to 0.0007 is too narrow such that low default loss rate banks subsidize high default loss rate banks for their loss.
This study also estimated the fair deposit insurance rates of credit cooperative firms. We found that the fair deposit insurance rates for credit unions are higher than those for listing banks. Furthermore, this study detected two troublesome credit cooperative firms which may go bankrupt due to extreme high default loss rate. Actually one of them was taken over by foreign bank last year. This verify the solidness of over model.
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