| dc.contributor | 統計系 | en_US |
| dc.creator (作者) | 游智惇;劉惠美;洪明欽 | zh_TW |
| dc.creator (作者) | Yu, Chih-Tun ; Liu, Huimei ; Hung, Ming-Chin | en_US |
| dc.date (日期) | 2011-10 | en_US |
| dc.date.accessioned | 29-Apr-2014 09:13:31 (UTC+8) | - |
| dc.date.available | 29-Apr-2014 09:13:31 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Apr-2014 09:13:31 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/65648 | - |
| dc.description.abstract (摘要) | Under the Basel II accord, a single factor model characterizes the regulatory capital calculations and the portfolio credit risk of the internal ratings based approach. However, this model assumes independent and identically distributed common factor which may produce inaccurate estimates of default probabilities and asset correlation. In this paper, we address a dynamic factor model to improve this phenomenon. This model can capture both dynamic behavior of default risk and dependence among individual obligors. We use a Monte Carlo Expectation Maximization (MCEM) algorithm along with a Gibbs sampler and an acceptance methods when estimating the unknown parameters. Moreover, the empirical study using the default data from the Standard and Poor`s shows evidence of profound serial dependence of the default rate in the Standard and Poor`s data. | en_US |
| dc.format.extent | 203903 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 中國統計學報,49(4),123-139 | en_US |
| dc.subject (關鍵詞) | Monte Carlo Expectation Maximization algorithm;default probability;asset correlation;dynamic factor model. | en_US |
| dc.title (題名) | Portfolio Credit Risk Estimation Under The Dynamic Factor Model | en_US |
| dc.type (資料類型) | article | en |
