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題名:結構式信用風險模型在台灣的應用與比較分析
作者:朱柏翰
作者(外文):PO-HAN CHU
校院名稱:國立中正大學
系所名稱:財務金融所
指導教授:薛立言
學位類別:博士
出版日期:2006
主題關鍵詞:結構模型CDSCreditGradesstructural model
原始連結:連回原系統網址new window
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  • 點閱點閱:27
自從1997年發生東南亞金融風暴以來,釵h國際企業與金融機構皆先後爆發倒閉或財務危機等信用事件,信用風險的議題逐漸受到熱烈的討論。再加上國際間金融自由化的趨勢、法規的鬆綁與金融環境的開放,使得信用衍生商品市場正蓬勃快速地發展。如何將信用風險量化,已成為一個相當熱門的話題。
本研究使用不同的結構式信用風險模型來評價2000到2005年台灣上市公司之信用風險,並且比較不同結構模型對於台灣市場的違約預警能力。經由本文透過模型違約排除力比較與個案分析之實證結果發現,CreditGrades model在放寬了過去結構模型中假設負債違約點為固定以及公司只有在負債到期時才會發生違約的限制之後,明顯地提升了結構模型在台灣市場的違約預測能力,並且能於企業爆發信用事件之前有效地提早發出違約預警的訊號。最後,本研究亦應用信用風險模型於信用衍生商品的評價上,期望本文之研究結果能使結構模型在台灣市場之應用更上一層,並有助於台灣信用風險之衡量與管理。
Since the 1997 Asian financial crisis, there is a sharp increase in credit events around the global market. At the same time, the expansion of credit derivatives also provides the new avenues for taking credit risk. Therefore, in recent years, the quantitative assignment of credit risk has been viewed as an important issue.
This thesis applies different structural models to measure the credit risk of the listed company in Taiwan, and introduces an application of credit risk model in pricing credit derivatives. Our empirical results indicate that CreditGrades model, which was published by RiskMetrics Group in 2002, provides more powerful ability to discriminate high default risk firms from low default risk firms, and also can signal the early warning signs before the credit events effectively.
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