| dc.contributor.advisor | 沈中華 | zh_TW |
| dc.contributor.advisor | Shen, Chung-Hua | en_US |
| dc.contributor.author (Authors) | 施畊宇 | zh_TW |
| dc.contributor.author (Authors) | Shih,Keng-Yu | en_US |
| dc.creator (作者) | 施畊宇 | zh_TW |
| dc.creator (作者) | Shih,Keng-Yu | en_US |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 14-Sep-2009 13:31:56 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 13:31:56 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 13:31:56 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0922580011 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32263 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經濟研究所 | zh_TW |
| dc.description (描述) | 92258001 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | This paper emphasis on the importance of default correlation, and also illustrate how the concept is connected with the Basel Ⅱ framework’s intention. Moreover, the paper brought out the different methodologies used by practitioners to arrive at the default correlation calculation, namely, the dispute between asset correlation and equity correlation. Furthermore, based on the model proposed by Hamerle, Liebig, and Scheule (2004), a panel logit model is set up to capture the relationship between the default events and the risk components endured by the specific industry. The model is therefore used to test the applicability of such model using Taiwan’s banking industry data. The result is consistent with our expectation about including the macroeconomic variables which will help to explain the default events happened within the banking industry. But, to my surprise, the proposition about the contemporary systematic random risk effect seems to be insignificant and a fixed effect is suggested to be assumed instead. | en_US |
| dc.description.tableofcontents | Contents 1 Introduction 3 2 Literature Survey 5 3 Methodology Comparisons 6 3.1 The Basic Issue………………………………..……………………………..6 3.2 JP Morgan’s Approach…………………………..…………………………8 3.3 Moody’s Approach……………………………..……………………………9 3.4 Lopez’s Approach………………………………..…………………………12 3.5 Deutsche Bundesbank’s Approach…………………………………………13 3.5.1 Gauging the Default Event…………….…………………………13 3.5.2 Modeling the Credit Risk……...…..……….……………………...15 3.5.3 Modeling the Asset Correlation………...………………………….18 3.5.4 Default Correlation…………….……..……………………………21 3.5.5 Estimating the Random Effect Parameter….……………………...22 3.5.6 Shortcomings of this Approach……..…...………….………..……25 4 Empirical Results 26 4.1 Data………………………………………………………………………...26 4.2 Risk Factors………………………………………………………………...29 4.3 Estimation Results………………………………………………………….35 5 Conclusion 39 References 41 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0922580011 | en_US |
| dc.subject (關鍵詞) | 資產相關性 | zh_TW |
| dc.subject (關鍵詞) | 倒帳相關性 | zh_TW |
| dc.subject (關鍵詞) | 倒帳機率 | zh_TW |
| dc.subject (關鍵詞) | 巴塞爾協定 | zh_TW |
| dc.subject (關鍵詞) | 台灣金融業 | zh_TW |
| dc.subject (關鍵詞) | Asset Correlation | en_US |
| dc.subject (關鍵詞) | Default Correlation | en_US |
| dc.subject (關鍵詞) | Default Probability | en_US |
| dc.subject (關鍵詞) | Basel Ⅱ | en_US |
| dc.subject (關鍵詞) | Taiwan Banking Industry | en_US |
| dc.title (題名) | 資產相關性 : 以台灣金融業為例 | zh_TW |
| dc.title (題名) | Asset Correlation : Taiwan Banking Industry study case | en_US |
| dc.type (資料類型) | thesis | en |
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