| dc.contributor.advisor | 鍾經樊 | zh_TW |
| dc.contributor.advisor | Chung, Ching-Fan | en_US |
| dc.contributor.author (Authors) | 黃憶倫 | zh_TW |
| dc.contributor.author (Authors) | Huang, Yi-Lun | en_US |
| dc.creator (作者) | 黃憶倫 | zh_TW |
| dc.creator (作者) | Huang, Yi-Lun | en_US |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 19-Sep-2009 13:41:17 (UTC+8) | - |
| dc.date.available | 19-Sep-2009 13:41:17 (UTC+8) | - |
| dc.date.issued (上傳時間) | 19-Sep-2009 13:41:17 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0096258021 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/37414 | - |
| 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) | 96258021 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 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.tableofcontents | 1 前言 1 2 文獻回顧 5 2.1 損失變數. . . . . . . . . . . . . . .. . . . 5 2.2 損失分配. . . . . . . . . . . . . . .. . . . 7 2.3 信用投資組合觀點模型. . . . . . . . .. . . . 8 2.3.1 CPV模型背景. . . . . . . . .. . .. . . . 8 2.3.2 部門違約率與總體因子. . . . . . .. . .. . 10 2.3.3 條件移轉矩陣. . . . . . . . . . .. . . 11 3 違約損失模型 14 3.1 評等基礎下損失模型. . . . . . . . . ... . . 14 3.1.1 產業投機等級違約率與總體因子. . .. . . . . 14 3.1.2 估計移轉係數. . . . . . . . . . . . . . . 17 3.1.3 模擬損失分配. . . . . . . . . . . . . . 21 3.2 不分評等損失模型. . . . . . . . . . . . . . . 23 3.2.1 產業違約率與總體因子. . . . . . ... . . . 23 3.2.2 模擬損失分配. . . . . . . . . . .. . . . 24 3.3 小結. . . . . . . . . . . . . . . .. . . . 24 4 實證與模擬違約損失分配 27 4.1 資料說明. . . . . . . . . . . . . . . . . . 27 4.2 模型估計結果. . . . . . . . . . . . . . . . 31 4.2.1 評等基礎損失模型估計. . . . . . . . . . . 31 4.2.2 不分評等損失模型估計. . . . . . . . . . . 35 4.3 模擬結果. . . . . . . . . . . . . . . . . . 36 4.4 小結. . . . . . . . . . . . . . . . . . . . 39 5 結論與建議 40 6 參考文獻 42 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0096258021 | en_US |
| dc.subject (關鍵詞) | 信用投資組合觀點模型 | zh_TW |
| dc.subject (關鍵詞) | 信用評等移轉矩陣 | zh_TW |
| dc.subject (關鍵詞) | 移轉係數 | zh_TW |
| dc.subject (關鍵詞) | 總體因子違約相關模型 | zh_TW |
| dc.subject (關鍵詞) | credit migration matrix | en_US |
| dc.subject (關鍵詞) | CreditPortfolioView | en_US |
| dc.subject (關鍵詞) | shift coefficients | en_US |
| dc.title (題名) | 信用投資組合觀點模型應用 | zh_TW |
| dc.title (題名) | An empirical analysis of the credit portfolio view model for economic capital | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | C. Simthson(2002), Credit Portfolio Management. New York: John Wiley & Sons,Inc. pp153-161. | zh_TW |
| dc.relation.reference (參考文獻) | Crouhy,M,,D. Galai and R. Mark (2000), "A Comparative Analysis of Current Credit Risk | zh_TW |
| dc.relation.reference (參考文獻) | Model," Journal of Banking and Finance, 24: 59-117. | zh_TW |
| dc.relation.reference (參考文獻) | Kern, M and B. Rudolph (2001), "Comparative Analysis of Alternative Credit Risk Models-An Application on German Middle Market Loan Portfolios, " CFS Working Paper, No | zh_TW |
| dc.relation.reference (參考文獻) | 20011/03. | zh_TW |
| dc.relation.reference (參考文獻) | Nickell, P., W. Perraudin, and S, Varotto (2001), "Stability of Rating Transitions," Journal of | zh_TW |
| dc.relation.reference (參考文獻) | Banking and Finance, 24: 203-228 | zh_TW |
| dc.relation.reference (參考文獻) | Wilson, T. (1997a), "Portfolio Credit Risk, Part I," Risk, 10, 111-117. | zh_TW |
| dc.relation.reference (參考文獻) | Wilson, T. (1997b), "Portfolio Credit Risk, Part II," Risk, 10, 56-61. | zh_TW |
| dc.relation.reference (參考文獻) | 黃仁德、陳淑郁(2005), 信用風險衡量理論與實務, 293. | zh_TW |
