Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/122139


Title: 以Lasso分量迴歸模型建構亞洲與台灣金融系統風險指標
Lasso Quantile Regression Model to Construct Asia and Taiwan Systemic Risk Measurement
Authors: 陳思成
Chen, Szu-Cheng
Contributors: 徐士勛
陳思成
Chen, Szu-Cheng
Keywords: 分量迴歸
系統風險
亞洲
台灣
LASSO
Quantile
Systemic risk
FRM
Asia
Taiwan
Date: 2018
Issue Date: 2019-01-23 15:29:54 (UTC+8)
Abstract: 本文應本文應用Hädle et al. (2016) 提出FRM (Financial Risk Meter) 指標,建構亞洲金融系統風險的評估模型,並進一步分析FRM這個創新的金融系統 風險評估指標在亞洲市場的適用性。Härdle et al. (2017) 提出的FRM所使用的模型是以美國前100大市值的金融機構作為基礎,而本文則以亞洲區前75大的金融機構與台灣前32大金融機構作為基礎, 編制亞洲區與台灣的FRM指標。我們所採用的計量模型是應用 Tibshirani et al. (1996) 提出的Lasso方法,觀察其中懲罰參數λ 的變化, 並納入 Li and Zhu (2008) 針對Lasso所提出的分量迴歸模型, 進而分析尾端風險對於整個金融體系的影響。我們發現台灣 FRM 指標相對而言與國際連動性較高, 而亞洲 FRM 指標連 動性相對低; 此結果因為各國金融體系的大小、與監管程度不同而有所差異。
Reference: 鍾經樊, (2011), “涵蓋信用風險、銀行間傳染風險、與流動性風險的台灣金融 系統風險量化模型”。 中央銀行季刊, 第三十三卷第二期, 13–39.
俞明德 、馮立功 、陳韋達 、林逸苓, (2012), “金融系統流動性風險之評估”。 中央銀行季刊, 第三十四卷第三期, 3–50.
陸婷、張明, (2017), “如何度量金融系统風險: 一個文獻述評”。 金融監管研究 院, 66, 1–15.
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Description: 碩士
國立政治大學
經濟學系
105258016
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105258016
Data Type: thesis
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