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Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/37414
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dc.contributor.advisor鍾經樊zh_TW
dc.contributor.advisorChung, Ching-Fanen_US
dc.contributor.author黃憶倫zh_TW
dc.contributor.authorHuang, Yi-Lunen_US
dc.creator黃憶倫zh_TW
dc.creatorHuang, Yi-Lunen_US
dc.date2008en_US
dc.date.accessioned2009-09-19T05:41:17Z-
dc.date.available2009-09-19T05:41:17Z-
dc.date.issued2009-09-19T05:41:17Z-
dc.identifierG0096258021en_US
dc.identifier.urihttps://nccur.lib.nccu.edu.tw/handle/140.119/37414-
dc.description碩士zh_TW
dc.description國立政治大學zh_TW
dc.description經濟研究所zh_TW
dc.description96258021zh_TW
dc.description97zh_TW
dc.description.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。zh_TW
dc.description.tableofcontents1 前言 1 \n2 文獻回顧 5 \n 2.1 損失變數. . . . . . . . . . . . . . .. . . . 5 \n 2.2 損失分配. . . . . . . . . . . . . . .. . . . 7 \n 2.3 信用投資組合觀點模型. . . . . . . . .. . . . 8 \n 2.3.1 CPV模型背景. . . . . . . . .. . .. . . . 8 \n 2.3.2 部門違約率與總體因子. . . . . . .. . .. . 10 \n 2.3.3 條件移轉矩陣. . . . . . . . . . .. . . 11 \n3 違約損失模型 14 \n 3.1 評等基礎下損失模型. . . . . . . . . ... . . 14 \n 3.1.1 產業投機等級違約率與總體因子. . .. . . . . 14 \n 3.1.2 估計移轉係數. . . . . . . . . . . . . . . 17 \n 3.1.3 模擬損失分配. . . . . . . . . . . . . . 21 \n 3.2 不分評等損失模型. . . . . . . . . . . . . . . 23 \n 3.2.1 產業違約率與總體因子. . . . . . ... . . . 23 \n 3.2.2 模擬損失分配. . . . . . . . . . .. . . . 24 \n 3.3 小結. . . . . . . . . . . . . . . .. . . . 24 \n4 實證與模擬違約損失分配 27 \n 4.1 資料說明. . . . . . . . . . . . . . . . . . 27 \n 4.2 模型估計結果. . . . . . . . . . . . . . . . 31 \n 4.2.1 評等基礎損失模型估計. . . . . . . . . . . 31 \n 4.2.2 不分評等損失模型估計. . . . . . . . . . . 35 \n 4.3 模擬結果. . . . . . . . . . . . . . . . . . 36 \n 4.4 小結. . . . . . . . . . . . . . . . . . . . 39 \n5 結論與建議 40 \n6 參考文獻 42zh_TW
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dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#G0096258021en_US
dc.subject信用投資組合觀點模型zh_TW
dc.subject信用評等移轉矩陣zh_TW
dc.subject移轉係數zh_TW
dc.subject總體因子違約相關模型zh_TW
dc.subjectcredit migration matrixen_US
dc.subjectCreditPortfolioViewen_US
dc.subjectshift coefficientsen_US
dc.title信用投資組合觀點模型應用zh_TW
dc.titleAn empirical analysis of the credit portfolio view model for economic capitalen_US
dc.typethesisen
dc.relation.referenceC. Simthson(2002), Credit Portfolio Management. New York: John Wiley & Sons,Inc. pp153-161.zh_TW
dc.relation.referenceCrouhy,M,,D. Galai and R. Mark (2000), \"A Comparative Analysis of Current Credit Riskzh_TW
dc.relation.referenceModel,\" Journal of Banking and Finance, 24: 59-117.zh_TW
dc.relation.referenceKern, M and B. Rudolph (2001), \"Comparative Analysis of Alternative Credit Risk Models-An Application on German Middle Market Loan Portfolios, \" CFS Working Paper, Nozh_TW
dc.relation.reference20011/03.zh_TW
dc.relation.referenceNickell, P., W. Perraudin, and S, Varotto (2001), \"Stability of Rating Transitions,\" Journal ofzh_TW
dc.relation.referenceBanking and Finance, 24: 203-228zh_TW
dc.relation.referenceWilson, T. (1997a), \"Portfolio Credit Risk, Part I,\" Risk, 10, 111-117.zh_TW
dc.relation.referenceWilson, T. (1997b), \"Portfolio Credit Risk, Part II,\" Risk, 10, 56-61.zh_TW
dc.relation.reference黃仁德、陳淑郁(2005), 信用風險衡量理論與實務, 293.zh_TW
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