Systemic risk, business cycle and loan loss provision：The evidence from Taiwan’s banking system
碩士 === 元智大學 === 商學碩士班(財務金融學程) === 102 === In this thesis, we applied the CoVaR method of Brunnermeier and Adrian (2010) to the financial holding companies in Taiwan. Especially, we estimate the one-period ahead foreast of loan loss provision (PLL) as the independent variable of VaR and △CoVaR. The f...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/p75qnn |