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研究生:黃彥傑
研究生(外文):Yen-Chieh Huang
論文名稱:資產相關係數:台灣商用不動產之實證研究
論文名稱(外文):Asset Correlation: The Empirical Analysis of Commercial Real Estate in Taiwan Market
指導教授:姜一銘姜一銘引用關係
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融學程
學門:商業及管理學門
學類:一般商業學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:英文
論文頁數:24
中文關鍵詞:新巴賽爾資本協定布萊克-修斯-莫頓模型資產相關係數
外文關鍵詞:The New Basel AccordBlack-Scholes-Merton modelAsset correlation
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這篇研究中,我們利用台灣公開上市市場中的商用不動產投資資料檢測其資產相關係數的實證研究。首先,我們使用Black-Scholes-Merton模型和資本資產訂價模型(CAPM)去計算出台灣商用不動產投資公司的個別違約機率及相關係數;之後,我們去檢測其違約機率與資產相關係數的的關係,可以發現我們的實證研究顯示公司違約機率和資產相關係數的關係為負向顯著的,與Lopez的結果及巴賽爾協定的規定一致。
根據新巴賽爾協定,在特殊放款中又可以細分為五種分類,其中收益型商用不動產(IPRE)及高波動型商用不動產(HVCRE)的目標標的皆為商用不動產,並且我們所挑選的公司收益來源和特殊放款的要求極為相似。更進一步的,我們計算出新巴賽爾協定的資產相關係數標準值,比較台灣從事商用不動產投資公司的資產相關係數是否屬於收益型商用不動產或高波動型商用不動產;最後,我們的實證結果並不能明確的指出台灣營建業的相關係數是屬於哪一種規範。

In this study, we empirically examine the individual asset correlation of commercial real estate in the Taiwan market. We first use all the commercial real estate data from Taiwan for the years 2000 through 2009 to determine the probability of default and asset correlation by using the Black-Scholes-Merton model and the capital asset pricing model. We then test the relation between the probability of default and the asset correlation. Our empirical findings show the relationship is significantly negative, which is consistent with Lopez (2009) and Basel IIs requirement.
According to Basel II, there are five sub-classes of specialized lending. Among these sub-classes, are the real estate classes of income-producing real estate (IPRE) and high-volatility commercial real estate (HVCRE). As the income source of commercial real estate is similar to specialized lending as defined in Basel II, we compare whether the estimated value of asset correlation belongs to IPRE or HVCRE. However, based on our empirical findings, we are unable to indicate which requirement the Taiwan commercial real estate belongs to.


1. Introduction
2. Literature Review
2.1 The credit-risk in Basel II
2.2 The relationship between asset correlation
3. Methodology7
3.1 The Black-Sholes-Merton(BSM) model
3.2 Asset correlation
4. Data Description
4.1 Data Sources
4.2 Variables
5. Empirical Results
5.1 Analysis of Descriptive Statistics
5.2 Regression results
5.3 Comparison with regulatory values
6. Conclusion
References


Black, Fischer, Myron Scholes, (1973), The Pricing of Options and Corporate Liabilities. Journal of Political Economics, Vol. 81, Issue 3, Pages 637-659.
Case, Bradford, (2003), Loss characteristics of commercial real estate portfolios. White paper prepared as background for public comments on the forthcoming Advance Notice of Proposed Rulemaking on the proposed New Basel Accord. Board of Governors of the Federal Reserve System, 2003.
Chernich, Andrew, Steven Vanduffel and Luc Henrard, (2006), Asset Correlations: A Literature Review and Analysis of the Impact of Dependent Loss Given Defaults.
Dietsch, Michel, Joel Petey, (2004), Should SME Exposures Be Treated as Retail or Corporate Exposures? A Comparative Analysis of Default Probabilities and Asset Correlations in French and German SMEs. Journal of Banking and Finance, Vol. 28, Issue 4, Pages773-788.
Freed, Das S.R. L., G. Geng, N. Kapadia, (2006). Correlated Default Risk. Journal of Fixed Income, Vol. 14, Issue 1, Pages 7-32
Gordy, Michael B. (2003). A risk-factor model foundation for ratings-based bank capital rule. Journal of Financial Intermediation. Vol. 12, Issue 3, Pages 199-232.
Haung, Chang-Wei, (2010). Asset Correlation in Australia: Empirical Evidence.
Lee, Shin-Cheng, Chien-Ting Lin,and Chih-Kai Yang (2011), The Asymmetric Behavior and Procyclical Impact of Asset Correlations. Journal of Banking and Finance, Vol 35, Issue 86.
Lopez, Jose A., (2004), The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size. Journal of Financial Intermediation. Volume 13, Issue 2, Pages 89-298.
Lopez, Jose A., (2009), Empirical analysis of the average asset correlation for real estate investment trusts, Quantitative Finance, Vol. 9, No.2, 217-229
Merton, R. C, (1974), On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, Vol. 29, Issue 2, Pages 449-470.
Nickell, Pamela, William Perraudim, Simone Varotto (2000), Stability of rating transitions. Journal of Banking and Finance, Vol. 24, Issue 1-2, Pages 203-227.
Servigny, Arnaud de, Olivier Renault, (2002). Default Correlation: Empirical Evidence. Working Paper, Standard and Poors.

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