| dc.contributor.advisor | 劉惠美<br>陳麗霞 | zh_TW |
| dc.contributor.advisor | Liu,Huimei<br>Chen,Li Shya | en_US |
| dc.contributor.author (作者) | 郭書廷 | zh_TW |
| dc.contributor.author (作者) | Kuo,Shu Ting | en_US |
| dc.creator (作者) | 郭書廷 | zh_TW |
| dc.creator (作者) | Kuo,Shu Ting | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 5-九月-2013 15:09:46 (UTC+8) | - |
| dc.date.available | 5-九月-2013 15:09:46 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-九月-2013 15:09:46 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0097354004 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/60427 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 統計研究所 | zh_TW |
| dc.description (描述) | 97354004 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 違約機率校準檢定 - global test 由兩部分組成：第一部分為 level，探討真實的平均違約機率是否被高估；第二部分 shape，探討高低違約機率的表現情形。但 global test 與相關違約事件下的 level test 檢定尺度皆遠高於顯著水準 $\\alpha$。本文先是針對相關違約事件，利用截斷分配使 level test 犯型一誤差機率更接近顯著水準，並提出虛無假設及對立假設為 $H_0: \\theta \\in \\cup_{i=1}^2 \\Theta_{i0}$ vs. $H_1: \\theta \\in \\cap_{i=1}^2 \\Theta_{i1}$ 的形式，引用交聯集檢定。更進一步透過 Liu \\& Berger (1995, \\textit{The Annals of Statistics}, 23, 1, 55-72) 建構齊一較強檢力檢定，改善檢定力。模擬結果顯示交聯集檢定與齊一較強檢力檢定的檢定尺度皆為 $\\alpha$，且齊一較強檢力檢定的檢定力皆高於交聯集檢定。 | zh_TW |
| dc.description.abstract (摘要) | The calibration test of the PDs (probabilities of default) --- global test is twofold, the first part is the level test, which is about the mean of calibrated PDs. Second, the shape test is about whether a calibrated PD model differentiates correctly between low and high default probability events. In simulation results, we found that the type I error of global test is much greater than significant level $\\alpha$, so is level test in correlation default events. In this study, firstly, we use the truncated level test to control previous error and suggest the hypothesis $H_0: \\theta \\in \\cup_{i=1}^2 \\Theta_{i0}$ vs. $H_1: \\theta \\in \\cap_{i=1}^2 \\Theta_{i1}$. Secondly, we introduce the intersection union test (IUT). Moreover, we construct an uniformly more powerful test (UMP test) by Liu \\& Berger (1995, \\textit{The Annals of Statistics}, 23, 1, 55-72). Simulation results show that the IUT and UMP test are size $\\alpha$ tests, and the power of UMP test is greater than IUT. | en_US |
| dc.description.tableofcontents | 中文摘要........................................... i 英文摘要........................................... ii 致謝............................................. iii 目錄............................................. iv 表目錄............................................ vi 圖目錄............................................ vii第一章 緒論........................................ 1第二章 文獻探討..................................... 3 2.1 符號定義.................................. 3 2.2 Blo ̈chlinger和Leippold(2009)校準檢定 ................ 4 2.2.1 Leveltest ............................. 4 2.2.2 Shapetest............................. 6 2.2.3 Level及Shape的漸近聯合分配.................. 9 2.2.4 Globaltest ............................ 10 2.3 交聯集檢定................................. 10 2.4 齊一較強檢力檢定 ............................. 11第三章 研究方法..................................... 16 3.1 Truncatedleveltest............................ 16 3.2 建構最大概似比檢定............................ 18 3.3 建構齊一較強檢力檢定........................... 20第四章 模擬分析比較 .................................. 23 4.1 參數設定.................................. 23 4.2 型一誤差及檢定力 ............................. 23 4.2.1 獨立的違約事件 .......................... 24 4.2.2 相關的違約事件 .......................... 25第五章 結論與建議.................................... 36參考文獻........................................... 38 附錄一:Shape檢定統計量之變異數........................... 39 附錄二:不同信用評等債務人違約人數相關係數..................... 41 | zh_TW |
| dc.format.extent | 2098898 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097354004 | en_US |
| dc.subject (關鍵詞) | 違約機率校準檢定 | zh_TW |
| dc.subject (關鍵詞) | 交聯集檢定 | zh_TW |
| dc.subject (關鍵詞) | 齊一較強檢力檢定 | zh_TW |
| dc.subject (關鍵詞) | calibration test | en_US |
| dc.subject (關鍵詞) | intersection union test | en_US |
| dc.subject (關鍵詞) | uniformly more powerful test | en_US |
| dc.title (題名) | 信用違約機率的聯合校準檢定 | zh_TW |
| dc.title (題名) | Joint Calibration Test of Credit Rating Probabilities of Default | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Berger, R.L. (1989), “Uniformly more powerful tests for hypotheses concerning linear inequalities and normal means”, Journal of the American Statistical Association, 84(405), 192–199.Blo ̈chlinger, A., Kantonalbank, Z., and Leippold, M. (2009), “Goodness-of-fit test for event forecasting”, Working paper.Lehmann, EL (1952), “Testing multiparameter hypotheses”, The Annals of Mathe- matical Statistics, 541–552.Liu, H. and Berger, R.L. (1995), “Uniformly more powerful, one-sided tests for hypotheses about linear inequalities”, The Annals of Statistics, 23(1), 55–72.McDermott, Michael P. and Wang, Yining (2002), “Construction of uniformly more powerful tests for hypotheses about linear inequalities”, Journal of Statistical Planning and Inference, 107(1-2), 207 – 217.Sasabuchi, S. (1980), “A test of a multivariate normal mean with composite hy- potheses determined by linear inequalities”, Biometrika, 67(2), 429.Wilde, T. (1997), “Creditrisk+: A credit risk management framework”, Credit Suisse First Boston. | zh_TW |
