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| Title: | 違約機率與違約損失率相關之下的CreditRisk+模型
The CreditRisk+ Model with the Correlated PD and LGD |
| Authors: | 陳漢鐘
Chen, han jhong |
| Contributors: | 鍾經樊
Chung,ching fan
陳漢鐘
Chen,han jhong |
| Keywords: | CreditRisk+
風險值
違約相關性
損失分配 |
| Date: | 2009 |
| Issue Date: | 2016-05-09 16:53:43 (UTC+8) |
| Abstract: | 本文修改信用風險商業化模型CreditRisk+, 以蒙地卡羅模擬的方式探
討若修改其中的兩個假設, 將對組合損失分配帶來何種影響。一、本文認
為不同產業間的違約不是獨立, 而應具有相關性。我們以4大產業的季違
約廠商數為應變數, 景氣因子作為自變數估計各產業違約情形與總體經
濟間的關係。二、個別公司違約損失率是一與違約機率相關的隨機變數,
而不再是常數。本文提出利用財報試算各公司、產業LGD 的方法, 並假
設產業違約損失率為Beta 隨機變數, 而其中的參數會受總體因子影響。
如此一來, 產業間的違約機率與違約損失率因總體因子的關係不再獨立,
於是個別公司的違約機率、違約損失率將具有相關性。
最後, 我們以台灣上市櫃公司中同時具有TCRI 評等資訊以及財報
的561家公司作為虛擬的放款組合, 模擬在不同總體條件下的信用損失分
配。結果顯示, 在考慮了產業間違約相關性後的損失將大於產業獨立時的
損失, 而進一步納入違約機率和損失率的相關性後, 放款組合的預期損失
與風險值也隨之提高。 |
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| Description: | 碩士
國立政治大學
經濟學系
95258014 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095258014 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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