資產相關性 : 以台灣金融業為例

• Main Authors: 施畊宇, Shih,Keng-Yu
• Language: 英文
• Published: 國立政治大學
• Subjects: 資產相關性; 倒帳相關性; 倒帳機率; 巴塞爾協定; 台灣金融業; Asset Correlation; Default Correlation; Default Probability; Basel Ⅱ; Taiwan Banking Industry
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0922580011%22.

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.