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| Title: | 資產相關性 : 以台灣金融業為例
Asset Correlation : Taiwan Banking Industry study case |
| Authors: | 施畊宇
Shih,Keng-Yu |
| Contributors: | 沈中華
Shen, Chung-Hua
施畊宇
Shih,Keng-Yu |
| Keywords: | 資產相關性
倒帳相關性
倒帳機率
巴塞爾協定
台灣金融業
Asset Correlation
Default Correlation
Default Probability
Basel Ⅱ
Taiwan Banking Industry |
| Date: | 2004 |
| Issue Date: | 2009-09-14 13:31:56 (UTC+8) |
| Abstract: | This paper emphasis on the importance of default correlation, and also illustrate how the concept is connected with the Basel Ⅱ framework’s intention. Moreover, the paper brought out the different methodologies used by practitioners to arrive at the default correlation calculation, namely, the dispute between asset correlation and equity correlation. Furthermore, based on the model proposed by Hamerle, Liebig, and Scheule (2004), a panel logit model is set up to capture the relationship between the default events and the risk components endured by the specific industry. The model is therefore used to test the applicability of such model using Taiwan’s banking industry data. The result is consistent with our expectation about including the macroeconomic variables which will help to explain the default events happened within the banking industry. But, to my surprise, the proposition about the contemporary systematic random risk effect seems to be insignificant and a fixed effect is suggested to be assumed instead. |
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| Description: | 碩士
國立政治大學
經濟研究所
92258001
93 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0922580011 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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