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    政大機構典藏 > 商學院 > 統計學系 > 期刊論文 >  Item 140.119/65648
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/65648


    Title: Portfolio Credit Risk Estimation Under The Dynamic Factor Model
    Authors: 游智惇;劉惠美;洪明欽
    Yu, Chih-Tun;Liu, Huimei;Hung, Ming-Chin
    Contributors: 統計系
    Keywords: Monte Carlo Expectation Maximization algorithm;default probability;asset correlation;dynamic factor model.
    Date: 2011-10
    Issue Date: 2014-04-29 09:13:31 (UTC+8)
    Abstract: Under the Basel II accord, a single factor model characterizes the regulatory capital calculations and the portfolio credit risk of the internal ratings based approach. However, this model assumes independent and identically distributed common factor which may produce inaccurate estimates of default probabilities and asset correlation. In this paper, we address a dynamic factor model to improve this phenomenon. This model can capture both dynamic behavior of default risk and dependence among individual obligors. We use a Monte Carlo Expectation Maximization (MCEM) algorithm along with a Gibbs sampler and an acceptance methods when estimating the unknown parameters. Moreover, the empirical study using the default data from the Standard and Poor's shows evidence of profound serial dependence of the default rate in the Standard and Poor's data.
    Relation: 中國統計學報,49(4),123-139
    Data Type: article
    Appears in Collections:[統計學系] 期刊論文

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