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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/59312


    Title: 離散型風險模型應用於銀行財務預警系統
    Application of Discrete-time Hazard Model in forecasting bankruptcy in banking industry
    Authors: 蕭文彥
    Contributors: 林士貴
    蕭文彥
    Keywords: 銀行
    銀行財務危機
    財務預警模型
    離散型風險模型
    bank
    bank failure
    early warning system
    discrete time hazard mode
    Date: 2012
    Issue Date: 2013-09-02 16:04:55 (UTC+8)
    Abstract: 本財務預警模型研究延續Shumway(2001)年所提出的離散型風險模型(Discrete-time Hazard Model)架構，即Shumway 所稱之多期邏輯斯迴歸模型(Multiperiod logistic regression model) ，來建立銀行財務預警模型。不同於Shumway所提出的Log 基期風險式，研究者根據實際財務危機發生機率圖提出Quadratic 基期風險式。由於離散型風險模型考量與時間相依共變量(Time-dependent covariate)，該模型可以納入隨時間變動的的市場與總體變數，這是單期模型無法達到的。實證結果顯示，不論是否有加入總體與市場變數，Quadratic 基期風險式離散型模型在樣本內檢測表現都比單期模型與Log 基期風險式離散型模型好，研究亦顯示樣本外的預測Quadratic基期風險式在大多數情況都優於Log 基期風險式與單期模型
    This paper continues Shumway(2001) studies on discrete time hazard model, the so called multi-period logistic regression model, to develop a bank failure early warning model . Different from log baseline hazard form proposed by Shumway, author present quadratic baseline hazard form based on the pattern of real default rate. By incorporating time-varying covariates, our model enables us to utilize macroeconomic and market variables, which cannot be incorporated into in a one-period model. We find that our model significantly outperforms the single period logit model and Log baseline hazard model with and without the macroeconomic and market variables at in-sample estimation. The improvement in accuracy comes both from the time-series bank-specific variables and from the time-series macroeconomic variables. Our research also shows that quadratic baseline hazard model outperforms Log baseline hazard model and single period logit model in out-of-sample prediction.
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    Description: 碩士
    國立政治大學
    金融研究所
    100352006
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1003520061
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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