Application of KMV Model to Evaluate Credit Risk and Corporate Crediting Performance
碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 96 === This research mainly analyzes the performance of financial institutions, including the concept of the credit risk, on corporate crediting. It measures the performance of crediting cases of one listed bank by using risk-adjusted return on capital, RAROC, and co...
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ndltd-TW-096MCU052140132019-05-15T19:38:38Z http://ndltd.ncl.edu.tw/handle/9wm4t2 Application of KMV Model to Evaluate Credit Risk and Corporate Crediting Performance 信用風險衡量與企業授信績效之研究:KMV模型之運用 Chang-Hsiang Wang 王長湘 碩士 銘傳大學 財務金融學系碩士在職專班 96 This research mainly analyzes the performance of financial institutions, including the concept of the credit risk, on corporate crediting. It measures the performance of crediting cases of one listed bank by using risk-adjusted return on capital, RAROC, and comparing full-cash delivery listed companies and the rest of listed companies from 2000 to 2007 in Taiwan stock market. Besides KMV model analyzes the threshold of the default rate in one quarter, half year, and one year. According to the research, KMV model has significantly predicting ability on default situations of listed companies in Taiwan. The default threshold, derived from sensitivity analysis, has more then 80% judgment competence. Therefore, the financial institutions of our country can use the law to raise the competences of the credit-risk prediction. After calculating out default rates, the performance evaluation of crediting cases of one listed bank by using RAROC discovers that the bank has the relative good result on crediting performance. In addition, it finds out, due to the relationship of market competition, the interest rates of 60% cases below theoretical crediting interest rates by using that bank’s ROE as the pricing goal and RAROC as the theoretical crediting interest rate. Finally, as described, the study suggests that each financial institution can try to establish risk-measured model by themselves. This not only can help to decrease the risk of loan by bank, but also increases the efficiency of fund. Moreover, it can create the most benefit for company according to the new Basel capital accord. Yu-Chen Tu 杜玉振 2008 學位論文 ; thesis 100 zh-TW |
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碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 96 === This research mainly analyzes the performance of financial institutions, including the concept of the credit risk, on corporate crediting. It measures the performance of crediting cases of one listed bank by using risk-adjusted return on capital, RAROC, and comparing full-cash delivery listed companies and the rest of listed companies from 2000 to 2007 in Taiwan stock market. Besides KMV model analyzes the threshold of the default rate in one quarter, half year, and one year.
According to the research, KMV model has significantly predicting ability on default situations of listed companies in Taiwan. The default threshold, derived from sensitivity analysis, has more then 80% judgment competence. Therefore, the financial institutions of our country can use the law to raise the competences of the credit-risk prediction.
After calculating out default rates, the performance evaluation of crediting cases of one listed bank by using RAROC discovers that the bank has the relative good result on crediting performance. In addition, it finds out, due to the relationship of market competition, the interest rates of 60% cases below theoretical crediting interest rates by using that bank’s ROE as the pricing goal and RAROC as the theoretical crediting interest rate.
Finally, as described, the study suggests that each financial institution can try to establish risk-measured model by themselves. This not only can help to decrease the risk of loan by bank, but also increases the efficiency of fund. Moreover, it can create the most benefit for company according to the new Basel capital accord.
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Yu-Chen Tu |
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Yu-Chen Tu Chang-Hsiang Wang 王長湘 |
author |
Chang-Hsiang Wang 王長湘 |
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Chang-Hsiang Wang 王長湘 Application of KMV Model to Evaluate Credit Risk and Corporate Crediting Performance |
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Chang-Hsiang Wang |
title |
Application of KMV Model to Evaluate Credit Risk and Corporate Crediting Performance |
title_short |
Application of KMV Model to Evaluate Credit Risk and Corporate Crediting Performance |
title_full |
Application of KMV Model to Evaluate Credit Risk and Corporate Crediting Performance |
title_fullStr |
Application of KMV Model to Evaluate Credit Risk and Corporate Crediting Performance |
title_full_unstemmed |
Application of KMV Model to Evaluate Credit Risk and Corporate Crediting Performance |
title_sort |
application of kmv model to evaluate credit risk and corporate crediting performance |
publishDate |
2008 |
url |
http://ndltd.ncl.edu.tw/handle/9wm4t2 |
work_keys_str_mv |
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