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標題: 透過多期信用風險模型探討金融機構違約風險
On the Default Risk of Financial Institutions by using Multi-Period Credit Risk Models
作者: 游惠婷
You, Huei-Ting
Contributors: 葉仕國
Shih-Kuo Yeh
財務金融系所
關鍵字: 多期Geske模型;Leland and Toft 模型;違約機率;累積正確率曲線
multi-period Geske credit risk models;Leland and Toft Model;default risk;Cumulative Accuracy Profile
日期: 2012
Issue Date: 2013-11-18 14:31:08 (UTC+8)
Publisher: 財務金融系所
摘要: 全球性金融流通使得各國銀行間資金往來頻繁,在雷曼兄弟事件爆發後各國金融機構紛紛受到不同程度之影響,金融監管的議題浮出檯面,要是能夠用模型準確預測出違約機率風險,便能提早預防,因此本研究透過結構式信用風險模型之觀念,使用Chen and Yeh (2006)之Geske多期信用模型以及Leland and Toft(1996)模型,對國內上市銀行進行以權益償還舊債及以舉新債償還舊債之違約風險預測,期望能帶給金融監管單位實質的幫助,成為未來金融制度改善的依據。結果顯示透過以權益還債之方式求得的違約機率,在危機發生前幾個月時具有明顯之預警效果,然而在以債還債的部分,因為銀行債務結構特殊負債比率幾乎都高達九成,所以造成以舉債新債方式每家銀行都是得到相當高的違約機率。接著分別以資本適足率及淨值報酬率來當基準,對模型做累積正確率曲線(CAP)來檢測模型預測率,以資本適足率為基準之正確率都偏低,而以淨值報酬率為基準之正確率相對較高,但是隨著年份不同而波動大。
The global financial circulation causes the capital flow to be frequent. After the Lehman Brothers bankruptcy, national financial institutions suffered different degrees of influence, and financial regulatory issues also appear. If model can predict the default risk accurately, it will be able to prevent risk. In this research, through the structural form model, multi-period Geske credit risk models, Chen and Yeh (2006) and Leland and Toft (1996) model of default risk prediction of domestic banks, and we expect that can bring some assistance for the financial regulatory. The results about default risk appear that early warning effect by way of equity financing. Due to the bank have the special structure of the debt, so the way to borrow new debt each bank will be bankrupt. Cumulative Accuracy Profile (CAP) to detect the model predictive. Bank of International Settlement ratio (BIS ratio) index of low accuracy rate, while Return on Equity (ROE) for the baseline accuracy rate is relatively high, but volatility.
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