政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/60427
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 109953/140892 (78%)
造访人次 : 46222847      在线人数 : 653
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/60427


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/60427


    题名: 信用違約機率的聯合校準檢定
    Joint Calibration Test of Credit Rating Probabilities of Default
    作者: 郭書廷
    Kuo,Shu Ting
    贡献者: 劉惠美
    陳麗霞
    Liu,Huimei
    Chen,Li Shya
    郭書廷
    Kuo,Shu Ting
    关键词: 違約機率校準檢定
    交聯集檢定
    齊一較強檢力檢定
    calibration test
    intersection union test
    uniformly more powerful test
    日期: 2009
    上传时间: 2013-09-05 15:09:46 (UTC+8)
    摘要: 違約機率校準檢定 - global test 由兩部分組成：第一部分為 level，探討真實的平均違約機率是否被高估；第二部分 shape，探討高低違約機率的表現情形。但 global test 與相關違約事件下的 level test 檢定尺度皆遠高於顯著水準 $\\alpha$。本文先是針對相關違約事件，利用截斷分配使 level test 犯型一誤差機率更接近顯著水準，並提出虛無假設及對立假設為 $H_0: \\theta \\in \\cup_{i=1}^2 \\Theta_{i0}$ vs. $H_1: \\theta \\in \\cap_{i=1}^2 \\Theta_{i1}$ 的形式，引用交聯集檢定。更進一步透過 Liu \\& Berger (1995, \\textit{The Annals of Statistics}, 23, 1, 55-72) 建構齊一較強檢力檢定，改善檢定力。模擬結果顯示交聯集檢定與齊一較強檢力檢定的檢定尺度皆為 $\\alpha$，且齊一較強檢力檢定的檢定力皆高於交聯集檢定。
    The calibration test of the PDs (probabilities of default) --- global test is twofold, the first part is the level test, which is about the mean of calibrated PDs. Second, the shape test is about whether a calibrated PD model differentiates correctly between low and high default probability events. In simulation results, we found that the type I error of global test is much greater than significant level $\\alpha$, so is level test in correlation default events. In this study, firstly, we use the truncated level test to control previous error and suggest the hypothesis $H_0: \\theta \\in \\cup_{i=1}^2 \\Theta_{i0}$ vs. $H_1: \\theta \\in \\cap_{i=1}^2 \\Theta_{i1}$. Secondly, we introduce the intersection union test (IUT). Moreover, we construct an uniformly more powerful test (UMP test) by Liu \\& Berger (1995, \\textit{The Annals of Statistics}, 23, 1, 55-72). Simulation results show that the IUT and UMP test are size $\\alpha$ tests, and the power of UMP test is greater than IUT.
    參考文獻: Berger, R.L. (1989), “Uniformly more powerful tests for hypotheses concerning linear inequalities and normal means”, Journal of the American Statistical Association, 84(405), 192–199.
    Blo ̈chlinger, A., Kantonalbank, Z., and Leippold, M. (2009), “Goodness-of-fit test for event forecasting”, Working paper.
    Lehmann, EL (1952), “Testing multiparameter hypotheses”, The Annals of Mathe- matical Statistics, 541–552.
    Liu, H. and Berger, R.L. (1995), “Uniformly more powerful, one-sided tests for hypotheses about linear inequalities”, The Annals of Statistics, 23(1), 55–72.
    McDermott, Michael P. and Wang, Yining (2002), “Construction of uniformly more powerful tests for hypotheses about linear inequalities”, Journal of Statistical Planning and Inference, 107(1-2), 207 – 217.
    Sasabuchi, S. (1980), “A test of a multivariate normal mean with composite hy- potheses determined by linear inequalities”, Biometrika, 67(2), 429.
    Wilde, T. (1997), “Creditrisk+: A credit risk management framework”, Credit Suisse First Boston.
    描述: 碩士
    國立政治大學
    統計研究所
    97354004
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097354004
    数据类型: thesis
    显示于类别:[統計學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    400401.pdf2049KbAdobe PDF2315检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈