政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/60429
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113451/144438 (79%)
Visitors : 51339816      Online Users : 674
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60429


    Title: 多期數之信用風險違約機率驗證法
    The Calibration Method of Probability of Default under Multiple Periods
    Authors: 林福文
    Lin, Fu-Wen
    Contributors: 劉惠美
    陳麗霞
    Liu, Huimei
    Chen, Li-Shya
    林福文
    Lin, Fu-Wen
    Keywords: 紅綠燈檢定
    卜瓦松映射
    二項映射
    Traffic lights test
    Poisson mapping
    Binomial mapping with granularity adjustment
    Date: 2009
    Issue Date: 2013-09-05 15:10:09 (UTC+8)
    Abstract: 新巴賽爾資協定中，針對銀行風險管理具備三大支柱，支柱一管理信用風險、市場風險及作業風險，其中信用風險方法更分為標準法、基礎內部模型法與進階內部模型法。不論銀行採用何種內部模型法，銀行必須有估計違約機率之能力，並且送交監理機關審查核准。為了確保預測違約機率之適當，巴賽爾銀行監理委員會BCBS (2005) 對於不同資料長度與驗證期間分別建議二項檢定、卡方檢定、常態檢定與紅綠燈檢定。當資料期數足夠時，BCBS推薦使用紅綠燈檢定，但該檢定需要若干假設：違約事件間相互獨立且違約事件在時間上亦獨立，因此在BCBS (2005) 中之某些情境下，採用紅綠燈檢定驗證違約機率會受到違約事件之間並非獨立，造成中央極限定理不適當地近似標準化之違約機率至常態分配，且模擬之型一誤差亦有高估之結果。
    在違約事件之間獨立且無時間相關性下，本文建議採用卜瓦松分配近似二項分配；在違約事件之間非獨立且具有時間相關性下，本文則建議採用二項分配，結合granularity adjustment，使違約事件間之相關性可以反映在不同顏色之分色點上。最後，由數量模擬結果顯示：本文建議採用之改良方法，皆可有效將型一誤差維持在設定之顯著水準上，並反映真實之檢定力。因此，不論對銀行或監理機關來說，改良之違約機率驗證方法係值得使用之方法。
    There are three methods in Basel II (Standardized Approach, Foundation IRB Approach and Advanced IRB Approach) to calculate the capital charges. The banks have to estimate probability of default (PD) if they use IRB approach. Four statistic methods recommended by BCBS worthy to validate the PD: Binomial test, Chi-square test, Normal test and Extended Traffic Lights test (ETLT). If the data are long enough, BCBS recommended using the ETLT with the assumptions that the obligors are independent and also independent in time. From numerical results, validating PDs by ETLT will overestimate the type I errors and statistic power.
    We suggest two methods in different scenarios to make the type I errors closed to the significant level. First, we suggest to approximate Normal distribution in Poisson distribution with randomization technique. Second, we combine Binomial distribution with granularity adjustment to fit the correlation between the obligors. Both methods not only perform well in type I errors, but also reflect the real statistic power. For the banks, both methods are worthy to use for avoiding to increasing the capital charges unexpectedly or the operational risk of the banks.
    Reference: 中文部分
    張揖平，洪明欽，尹晟龢 (2009), “違約機率驗證之檢定”, 中國統計學報, Vol.47 113–128

    英文部分
    Basel Committee on Banking Supervision (BCBS) (2005), Studies on the Validation of Internal Rating Systems.
    Blochwitz, S., Hohl, S., Tasche, D., and When, C. S. (2004), “Validating default probabilities on short time series”, Working paper.
    Blochwitz, S., Hohl, S., and When, C. S. (2005), “Reconsidering ratings”, Wilmott magazine, May, 60–69.
    Gordy, M. (2002), “A risk-factor model foundation for ratings-based bank capital rules”, Working paper.
    Martin, R. and Wilde, T. (2002), “Unsystematic credit risk”, Risk magazine 15(11) 123–128.
    Tasche D. (2003). “A traffic lights approach to PD validation”, Working paper.
    Description: 碩士
    國立政治大學
    統計研究所
    97354006
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097354006
    Data Type: thesis
    Appears in Collections:[Department of Statistics] Theses

    Files in This Item:

    File Description SizeFormat
    400601.pdf860KbAdobe PDF2416View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback