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研究生:楊佳靜
研究生(外文):Jia-Jing Yang
論文名稱:台灣上市公司債之信用風險值實證分析-以CreditMetricsTW為例
論文名稱(外文):Empirical analysis of Credit VaR of listed corporate bonds in Taiwan- CreditMetricsTW example
指導教授:張嘉倩張嘉倩引用關係
指導教授(外文):Chia-Chien Chang
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:金融資訊研究所
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:2012
畢業學年度:100
語文別:英文
論文頁數:51
中文關鍵詞:信用風險值(CVaR)、條件式信用風險值(conditionalCVaR)回收率、相關係數CreditMetricsTW
外文關鍵詞:Credit Value at Risk, conditional Credit Value at RiskCreditMetricsTW,Recovery rateCorrelation coefficient.
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我們使用J.P. Morgan, 1997 所提出的CreditMetricsTW 以台灣12 種產業的公司債去估計信用風險值,其依據JICI 的信用轉換矩陣、Yang (2005) 所提供的一年期遠期零息殖利率、Shen et al. (2003) 所提出的回收率以及本研究中的12 種產業之相關係數來估計信風險值 (CVaR) 與條件式信用風險值 (conditional CVaR)。此外,我們使用不同的相關係數及不同的回收率來觀察信用風險值(CVaR)與條件式信用風險值(conditional CVaR)的變化。由實驗結果得知,相關係數和信用風險值(CVaR)與條件式信用風險值(conditional CVaR)大多呈現正向關係;而回收率和信用風險值(CVaR)與條件式信用風險值(conditional CVaR)大多呈現負向關係。在實驗結果裡,我們也發現如果採用信用風險值(CVaR)來衡量風險,則信用風險將可能有被低估。
We use the corporate bonds of twelve kinds of industries in Taiwan to estimate the Credit Value at Risk (CVaR) by using CreditMetricsTW by J.P. Morgan, 1997. We stand on the credit transition matrix in Joint Credit Information Center (JCIC), one-year forward zero rates provided by Yang (2005), recovery rates proposed by Shen et al. (2003) and the correlation coefficients of twelve kinds of industries in this study to estimate the CVaR and conditional CVaR. Furthermore, we use different correlation coefficients and different recovery rates to observe CVaR and conditional CVaR fluctuations. The experimental results show that the correlation coefficient is most positively related to CVaR and conditional CVaR, and the recovery rate is most negatively related to CVaR and conditional CVaR. In the experimental results, we also find that if we adopt CVaR to examine risks, the credit risks will probably be
underestimated.
Contents
English Abstract ............................................................................................................ i
Chinese Abstract .......................................................................................................... ii
Contents ............................................................................................................... iv
Contents List of Tables ................................................................................................ v
Contents List of Figures ............................................................................................. vi
Chapter 1 Introduction................................................................................................ 1
1.1 Motivation ................................................................................................. 1
1.2 Research Purpose ..................................................................................... 2
1.3 Research Framework............................................................................... 4
Chapter 2 Literature Reviews..................................................................................... 5
2. 1 Introduction of credit risk models ............................................................... 5
2.2 The relevant research of CreditMetrics TW ................................................ 19
Chapter 3 Empirical Methodology ........................................................................... 21
Chapter 4 Experimental Result and Discussion ...................................................... 29
4.1 Data Source................................................................................................... 29
4.2 Simulation Processes .................................................................................... 33
4.3 Experimental analysis and results .............................................................. 34
Chapter 5 Conclusion and Future Work ................................................................. 40
Reference .................................................................................................................... 41
Reference
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