政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/32263
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/32263


    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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    Hamerle, A., Liebig, T. and Scheule, H. (2004), “Forecasting Credit Portfolio Risk”, Discussion Paper, No. 01/2004, Deutsche Bundesbank.
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    Shen, C. H and Huang, A. H. (2003), “Are Performance of Banks and Firms Linked? And if so, why?”, Journal of Policy Modeling, 5315:1-18.
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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:[Department of Economics] Theses

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