The stress test of Taiwan' domestic banks' authorized capital
碩士 === 國立中正大學 === 國際經濟研究所 === 99 === This paper applies a VAR Model methodology to stress test local banks in Taiwan. First, it estimates the macroeconomic variables changes between the U.S. and Taiwan. Then it estimates the changes in the risk factors on each bank’s capital. The impulse response fu...
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ndltd-TW-099CCU003240412015-10-28T04:06:48Z http://ndltd.ncl.edu.tw/handle/02093681333569020596 The stress test of Taiwan' domestic banks' authorized capital 台灣本國銀行法定資本之總體壓力測試 Lee, Tzuyin 李姿吟 碩士 國立中正大學 國際經濟研究所 99 This paper applies a VAR Model methodology to stress test local banks in Taiwan. First, it estimates the macroeconomic variables changes between the U.S. and Taiwan. Then it estimates the changes in the risk factors on each bank’s capital. The impulse response functions also suggest that First Bank , Hua Nan Bank, Fubon Bank ,Cathay Bank ,Yuanta Bank, Bank SinoPac, Taiwan Cooperative Bank and Land Bank are sensitive to the impulse of the macroeconomic variables. After the stress test with the macroeconomic scenarios in the U.S., the results show that the capital adequacy ratios of these banks are above the standard ratio. Ferng, Likung 馮立功 2011 學位論文 ; thesis 47 zh-TW |
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碩士 === 國立中正大學 === 國際經濟研究所 === 99 === This paper applies a VAR Model methodology to stress test local banks in Taiwan. First, it estimates the macroeconomic variables changes between the U.S. and Taiwan. Then it estimates the changes in the risk factors on each bank’s capital. The impulse response functions also suggest that First Bank , Hua Nan Bank, Fubon Bank ,Cathay Bank ,Yuanta Bank, Bank SinoPac, Taiwan Cooperative Bank and Land Bank are sensitive to the impulse of the macroeconomic variables. After the stress test with the macroeconomic scenarios in the U.S., the results show that the capital adequacy ratios of these banks are above the standard ratio.
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author2 |
Ferng, Likung |
author_facet |
Ferng, Likung Lee, Tzuyin 李姿吟 |
author |
Lee, Tzuyin 李姿吟 |
spellingShingle |
Lee, Tzuyin 李姿吟 The stress test of Taiwan' domestic banks' authorized capital |
author_sort |
Lee, Tzuyin |
title |
The stress test of Taiwan' domestic banks' authorized capital |
title_short |
The stress test of Taiwan' domestic banks' authorized capital |
title_full |
The stress test of Taiwan' domestic banks' authorized capital |
title_fullStr |
The stress test of Taiwan' domestic banks' authorized capital |
title_full_unstemmed |
The stress test of Taiwan' domestic banks' authorized capital |
title_sort |
stress test of taiwan' domestic banks' authorized capital |
publishDate |
2011 |
url |
http://ndltd.ncl.edu.tw/handle/02093681333569020596 |
work_keys_str_mv |
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