| dc.contributor | 統計學系 | zh_TW |
| dc.creator (作者) | Chang, Yi-Ping;Lin, Jing-Xiu;Yu, Chih-Tun | en_US |
| dc.date (日期) | 2016 | |
| dc.date.accessioned | 8-Jan-2018 17:14:55 (UTC+8) | - |
| dc.date.available | 8-Jan-2018 17:14:55 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Jan-2018 17:14:55 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/115534 | - |
| dc.description.abstract (摘要) | According to the Basel Committee on Banking Supervision (BCBS), the internal ratings-based approach of Basel II and Basel III allows a bank to calculate the Value-at-Risk (VaR) for portfolio credit risk by using its own credit risk model. In this paper we use the Granularity Adjustment (GA) method proposed by Martin and Wilde (2002) to calculate VaR in the portfolio credit risk model with random loss given default. Moreover, we utilize a Monte Carlo simulation to study the impact of concentration risk on VaR. | en_US |
| dc.format.extent | 260438 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Economics and Management, August 2016, v. 12, iss. 2, pp. 157-76 | en_US |
| dc.subject (關鍵詞) | Bank; Banking; Credit; Portfolio | en_US |
| dc.title (題名) | Calculating Value-at-Risk Using the Granularity Adjustment Method in the Portfolio Credit Risk Model with Random Loss Given Default | en_US |
| dc.type (資料類型) | article | |
