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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35745


    Title: 銀行危機預警指標-KMV信用風險模型與財務指標之應用
    Authors: 周培如
    Contributors: 沈中華
    周培如
    Keywords: 早期預警模型
    銀行危機
    信用風險
    Date: 2003
    Issue Date: 2009-09-18 15:54:49 (UTC+8)
    Abstract: 在金融市場全球化的趨勢下,重大金融危機發生的頻率與傳染力也相對提高,程度不一的金融危機頻繁發生。在台灣金融體系裡,隱藏逾放早已是事實,最近幾年因為大環境的不景氣,銀行逾放比率不斷上升,因此銀行本身體質的健全與否是非常值得注意的。本文欲建立一個預警模型,找出可以預測銀行危機的指標。
    首先利用KMV公司於1997年發展出來的Credit Monitor Model,將市場訊息帶入早期預警模型中,發現銀行業的特殊財務結構(高財務槓桿),會造成Credit Monitor Model的運用障礙,因為銀行業的負債比率高達95%,股東權益佔資產的份額相當地小,用這一小部分的股東權益估算資產市值是不合理的,所以本文加入一些簡單的假設解決這個問題,利用修改後的Credit Monitor Model加入新的市場訊息。此外還探討財務會計變數中的覆蓋率,是否具有事先預警的效用,除了財務會計變數外,本文亦加上其他市場上具有監督效果的指標,如定期存款利率與無風險國庫券利率差,這使得本模型更具備了即時市場訊息的資料。
    本文發現只有傳統財務變數—覆蓋率具有預測能力,當遭受危機或總體經濟環境不好時,覆蓋率越低的銀行,愈容易倒閉。另外兩個變數—違約距離與定期存款利率差,係數的正負號與預測的相同,但卻都不顯著,本文認為這種情可能是由於台灣股票市場的不完全及存款保險制度所造成。
    Reference: 中文參考:
    1、白鎮維、趙令斌,「信用風險之評估—介紹KMV之EDF及若干國內實證」,貨幣觀測與信用評等第27期
    2、江景清、陳淑玲,「淺談資本風險值(CAR)—一個衡量銀行資本適足性之新觀念」,貨幣觀測與信用評等第16期
    3、沈中華(2002),「金融市場」,華泰出版社
    4、沈中華、郭照榮(2001)譯,「金融機構管理」,華泰出版社
    5、沈中華、謝孟芬,「事件風險:以貨幣危機及銀行危機為例」,企銀季刊第廿二卷第二期
    6、李聿偉(2002),「金融預警制度之研究」,中山大學財務管理研究所
    7、李婉慈(1999),「銀行往來關係與公司經營績效及財務危機之關聯性分析」,中正大學財務金融研究所
    8、林妙宜(2002),「公司信用風險之衡量」,政治大學金融研究所
    9、孫丕垣(1999),「企業信用風險與國家貨幣風險之關係」,東吳大學經濟研究 所
    10、陳松男(2002),「金融工程學」,華泰出版社
    11、陳威光(2001),「選擇權—理論、實務與應用」,智勝出版社
    12、張大成、黃建隆、陳漢沖,「市場價格信用風險模型之修正與應用-以Merton模型為例」,貨幣觀測與信用評等第38期
    13、張巍靜(2001),「台灣銀行業財務預警模型研究---UTADIS模型之應用」,台灣大學經濟研究所
    14、葉金江(1998),「退票率與經濟景氣之關係—影響退票率因素之實證分析」,貨幣觀測與信用評等第11期
    15、蔡莉芸(2002),「信用風險模型績效評估—以台灣股票市場為實例」,淡江大學財務金融研究所
    16、劉文仲(2002),「銀行早期預警系統-市場與會計資訊之應用」,東吳大學經濟研究所
    17、鄭璟紘(2002),「金融預警、合併監理與分級管理制度之研究」,政治大學經營管理研 究所
    18、蕭惠元、陳惠玲,「台灣企業債務違約分析-TCRI違約率統計」,貨幣觀測與信用評等第34期
    19、鐘俊文、蔡毓芳(2003),「銀行放款信用價差與違約風險之比較」,貨幣觀測與信用評等
    20、顧石望(1996),「金融預警制度之研究─以本國一般銀行為例」,政治大學企業管理研究所
    英文參考:
    1、Bongini,Claessens,Ferri(2001)," The Political Economy of Distress in East Asian Financial Institutions.",Journal of Financial Services Research,Vol 19,5-25
    2、Bongini,Laeven,Majnoni(2002)," How good is the market at assessing bank fragility?A horse race between different indicators.",Journal of Banking & Finance 26(2002) 1011-1028
    3、Cook,Spellman(1994)," Repudiation Risk and Restitution Costs:Toward Understanding Premiums on Insured Deposits",Journal of Money,Crddit,and Banking 26(1994) 439-459
    4、Curry,Elmer,Fissel(2003)," Using market information to help identify distressed institutions:A regulatory perspective.",FDIC Banking Review,Vol 15
    5、Detragiache , Demirgüç-Kunt (2000)," Monitoring banking sector fragility:A multivariate logit approach with an Application to the 1996-97 Banking Crises.",The World Bank Economic Review,Vol 14, 287-308
    6、Evanoff,Wall(2001)," Sub-debt Yields Spreads as Bank Risk Measures.",Journal of Financial Services Research 20:2/3 121-145
    7、Evanoff,Wall(2002)," Measures of the riskiness of banking organizations:Subordinated debt yields,risk-based capital,and examination ratings.",Journal of Banking & Finance 26(2002) 989-1009
    8、Gonzalez-Hermosillo,Pazarbasioglu,Billings(1997)," Determinants of Banking System Fragility:A Case Study of Mexico.",IMF Staff Papers.
    9、Gonzalez-Hermosillo(1999)," Developing indicators to provide early warnings of banking crises.",Finance & Development,Vol 36
    10、Greene(2002)," Econometric Analysis",Prentice-Hall International,Inc.
    11、Gropp,Vesala,Vulpes(2002)," Equity and Bond Market Signals as Leading Indicators of Bank Fragility.",European Central Bank , Working Paper Series
    12、Hannan,Hanweck(1988)," Bank Insolvency Risk and the Market for Large Certificates of Deposit." Journal of Money,Crddit,and Banking,Vol 20,203-212
    13、Hardy,Pazarbasioglu(2002)," Determinants and leading indicators of banking crises:Further evidence.",
    14、Kealhofer(2003)," Quantifying Credit Risk I:Default Prediction.",Financial Analysts Journal
    15、Kealhofer(2003)," Quantifying Credit Risk II:Default Prediction.",Financial Analysts Journal
    16、Kurbat,Korablev(2002)," Methodology for Testing the Level of the EDF Credit Measure.",Moody’s KMV Technical Report # 020729
    17、Park,Peristiani(1998)," Market Discipline by Thrift Depositors.",Journal of Money,Crddit,and Banking,Vol 30 ,347-364
    18、Saunders,Allen(2002)," Credit Risk Measurement",John Wiley & Sons,Inc.
    19、Soledad,Peria,Schmukler(2001)," Do Depositors Punish Banks for Bad Behavior?Market Discipline,Deposit Insurance,and Banking Crises.",Journal of Finance,1028-1051
    Description: 碩士
    國立政治大學
    經濟研究所
    91258007
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091258007
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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