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| Title: | 信用投資組合觀點模型應用
An empirical analysis of the credit portfolio view model for economic capital |
| Authors: | 黃憶倫
Huang, Yi-Lun |
| Contributors: | 鍾經樊
Chung, Ching-Fan
黃憶倫
Huang, Yi-Lun |
| Keywords: | 信用投資組合觀點模型
信用評等移轉矩陣
移轉係數
總體因子違約相關模型
credit migration matrix
CreditPortfolioView
shift coefficients |
| Date: | 2008 |
| Issue Date: | 2009-09-19 13:41:17 (UTC+8) |
| Abstract: | 為了研究總體因子與產業違約率之間的關聯性, 本文以信用投資組合觀點模型(CPV) 做為開端, 建立在具評等基礎下的違約損失模型, 並以投機等級違約率估計出移轉係數矩陣, 進而模擬各產業條件移轉矩陣, 藉以反應在各種不同總體情境下, 產業內各評等的移轉機率及違約機率。此外, 本文亦建立不分評等的簡化違約損失模型, 並將兩模型做一比較。最後, 我們以台灣537 家上市櫃公司做為投資組合樣本, 分別模擬出兩模型的條件違約損失分配。進一步計算風險指標,以此做為未來規劃資本計提的基礎。最後結果顯示, 投資組合違約情況確實受總體因子影響, 且發現若投資組合中評等越差公司之曝險越小, 將有助於降低組合資產風險。 |
| Reference: | C. Simthson(2002), Credit Portfolio Management. New York: John Wiley & Sons,Inc. pp153-161.
Crouhy,M,,D. Galai and R. Mark (2000), "A Comparative Analysis of Current Credit Risk
Model," Journal of Banking and Finance, 24: 59-117.
Kern, M and B. Rudolph (2001), "Comparative Analysis of Alternative Credit Risk Models-An Application on German Middle Market Loan Portfolios, " CFS Working Paper, No
20011/03.
Nickell, P., W. Perraudin, and S, Varotto (2001), "Stability of Rating Transitions," Journal of
Banking and Finance, 24: 203-228
Wilson, T. (1997a), "Portfolio Credit Risk, Part I," Risk, 10, 111-117.
Wilson, T. (1997b), "Portfolio Credit Risk, Part II," Risk, 10, 56-61.
黃仁德、陳淑郁(2005), 信用風險衡量理論與實務, 293. |
| Description: | 碩士
國立政治大學
經濟研究所
96258021
97 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0096258021 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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