A process research on Credit VaR measurement of Bank’s loan asset portfolios
碩士 === 輔仁大學 === 應用統計學研究所 === 94 === The object of this study applies Credit Metrics model (Morgan, 1997) to find the method and model of Credit VaR of bank’s loan assets portfolio by referring Taiwan’s bank actual situation asset portfolios. This result not only provides a basic concept of Credit V...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/48147838071852349704 |
| Summary: | 碩士 === 輔仁大學 === 應用統計學研究所 === 94 === The object of this study applies Credit Metrics model (Morgan, 1997) to find the method and model of Credit VaR of bank’s loan assets portfolio by referring Taiwan’s bank actual situation asset portfolios. This result not only provides a basic concept of Credit VaR. Moreover, this study uses CDS as an example. Including CDS into the risk management process of loan assets portfolio. Indicating how derivatives can manage credit risk in order to reach the goal of risk control and how derivatives can help banks making the best decision under risk management and capital efficiency consideration.
The conclusion of this study Summarized as follows:
1. If the loan asset value is normal distribution, banks may underestimate the Credit VaR , which they are going to face.
2. Bank should choose the largest loan asset portfolio Credit VaR under stress test concept to be the most conservative estimation.
3. Including CDS can reduce each loan asset of Credit VaR.
4. The expecting loss calculated by new Basel accord is obviously lower than Credit VaR calculated by Credit Metric model. There might have two reasons of this result: (1) The downgrade risk of loan assets is considered in Credit Metrics model (2) The correlation between assets.
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