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    題名: 資產相關性 : 以台灣金融業為例
    Asset Correlation : Taiwan Banking Industry study case
    作者: 施畊宇
    Shih,Keng-Yu
    貢獻者: 沈中華
    Shen, Chung-Hua
    施畊宇
    Shih,Keng-Yu
    關鍵詞: 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
    日期: 2004
    上傳時間: 2009-09-14 13:31:56 (UTC+8)
    摘要: 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.
    參考文獻: Asian Development Bank (2001), “A regional Early Warning System Prototype for East Asia”, Regional Economic Monitoring Unit.
    Basel Committee on Banking Supervision (2004), “International Convergence of Capital Measurement and Capital Standards”, Bank for International Settlement, June.
    Black, F., Scholes, M. (1973). “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, 637-654.
    Goldstein, M., Graciela, L. K. and Carmen, M. R. (2000), “Assessing Financial Vulnerability: An Early Warning System for Emerging Markets”, Institute for International Economics, Washington, DC, June.
    Gordy, M. B. (2000), “A Comparative Anatomy of Credit Risk Models”, Journal of Banking & Finance: 119-149.
    Gordy, M. B. (2003), “A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules”, Journal of Financial Intermediation: 199-232.
    Greene, W. H. (2003), “Econometric Analysis”, Fifth Edition.
    Hamerle, A., Liebig, T. and Rösch, D. (2003), “Credit Risk Factor Modeling and the Basel Ⅱ IRB Approach”, Discussion Paper, No. 02/2003, Deutsche Bundesbank.
    Hamerle, A., Liebig, T. and Rösch, D. (2004), “Benchmarking Asset Correlations”, Deutsche Bundesbank.
    Hamerle, A., Liebig, T. and Scheule, H. (2004), “Forecasting Credit Portfolio Risk”, Discussion Paper, No. 01/2004, Deutsche Bundesbank.
    Jarrow, R. A., Lando, D., Turnbull, S.M. (1997), “A Markov Model of the Term Structure of Credit Spreads”, Review of Financial Studies 10.
    KMV (2001), “An Empirical Assessment of Asset Correlation Models”.
    KMV (2001), “Response to JP Morgan’s paper “Using Equities to Price Credit””.
    KMV (2001), “Measuring Credit Correlations: Equity Correlations Are Not Enough!”.
    Koyluoglu, H.U. and Hickman, A. (1998), “A Generalized Framework for Credit Risk Portfolio Models”, Working Paper, Oliver, Wyman & Co.
    Lopez, J. A. (2002), “The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size”. Working Paper in Applied Economic Theory, 2002-05, Federal Reserve Bank of San Francisco.
    Lucas, D.J. (1995), “Default Correlation and Credit Analysis”, Journal of Fixed Income, 76-87.
    Merton, R. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance, 29, 449-470.
    Nagpal, K., Bahar, R. (2001), “Measuring Default Correlation”, Risk, March, 129-132.
    Shen, C. H. (2003), “Drawbacks and Improvements in Basel Ⅱ (in Chinese)”, Taiwan Banking and Finance Quarterly, 4(1):1-17.
    Shen, C. H. and Chih, H. L. (2005), “Investor Protection, Prospect Theory, and Earning Management: An International Comparison of the Banking Industry”, Journal of Banking and Finance,
    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.
    Wooldridge, J. M. (2002), “Introductory Econometrics: A Modern Approach”
    Wu, Y. J., (2003), “Studies on Taiwan Financial Crisis Warning System”, Central Bank of China: 25-3.
    描述: 碩士
    國立政治大學
    經濟研究所
    92258001
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0922580011
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

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