信用風險模型評估—Merton模型之應用; Assessment of Credit Risk Models - Application of Merton Model

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题名:	信用風險模型評估—Merton模型之應用;Assessment of Credit Risk Models - Application of Merton Model
作者:	楊麒麟;Chi-lin Yang
贡献者:	財務金融學系碩士在職專班
关键词:	信用風險;Merton模型;Merton Model;Credit Risk
日期:	2007-07-07
上传时间:	2009-09-22 14:47:32 (UTC+8)
出版者:	國立中央大學圖書館
摘要:	近年來信用風險衍生的問題日益受到重視，對於銀行而言，建立精確預警能力之信用風險模型也愈加重要。本篇論文以1999年6月新巴塞爾資本協定新的提議，允許銀行使用內部評等法（the Internal Ratings-Based Approach，IRB）為開端，說明銀行信用風險管理對於企業授信債權，將因評估方法之不同所提列之信用風險必需資本亦有所差異，因此促使銀行建立內部評等方法。其中並介紹信用風險評估方式之演進與實務上四大信用風險模型；最後以Merton模型說明公司價值的涵意，並篩選台灣上市櫃公司作為預測的樣本、驗證選擇權模型之預警能力；本篇論文的實證結果發現，Merton模型在所篩選的六十家(含配對樣本)上市櫃公司所產生的預警能力部份未如預期，但是於個案分析驗證模型預測信用風險、仍具有良好之效果。 More and more attention is being drawn to credit risk related issues in recent years. For banks, it is of critical and growing importance to establish credit risk models that can raise alarms with accuracy. This study begins with the New Basel Capital Accord (Basel II) which proposes to allow banks to utilize the Internal Ratings-Based Approach (IRB). It is used to demonstrate that credit risk required capital in credit risk management for banks with respect to corporate lending credits will vary by valuation method. As a result, banks are encouraged to establish internal assessment systems. Introduction on the evolution of credit risk assessment method will be made as well as on the four major credit risk models in practice. And finally, this study will use the Merton model as an example to illustrate the significance of corporate values. A forecast sample will be selected from the listed companies in Taiwan to verify the forewarning capacity of the option model. Empirical results from this study show that performance of the Merton model in forewarning for the selected 60 listed companies (including matched samples) does not meet the expectation. However, the model serves well in verifying credit risk forecasting models by case analysis.
显示于类别:	[財務金融學系碩士在職專班] 博碩士論文

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