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引文資料
題名:
The Default Probability of Bank Loans in Taiwan: An Empirical Investigation by the Markov Chain Model
書刊名:
Asia Pacific Management Review
作者:
Lu, Su-lien
/
Kuo, Chau-jung
出版日期:
2006
卷期:
11:2
頁次:
頁111-122
主題關鍵詞:
Credit risk
;
Default probability
;
Markov chain model
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
2
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:
1
點閱:28
This paper presents the Markov chain methodology to derive the default probability of bank loans. The model is more elaborate than that of the previous model, which was developed by Jarrow, Lando and Turnbull (1997). In our model, through relaxing the assumption of the Jarrow, Lando and Turnbull (1977), we estimate the risk premium only when the default state has not occurred in the stochastic process of non-homogeneous Markov. In our model, the default probability for each borrower and its risk premium will be recursively endogenous. We estimate default probabilities of thirty-one banks in Taiwan. on the other hand, we also compare default probabilities of banks whether participate in financial holding companies or not. The empirical result indicates that banks participate din financial holding companies do not have better credit risk management. Consequently, in facing the BaselⅡAccord, we hope that this paper will be helpful for Taiwan’s financial institutions.
以文找文
期刊論文
1.
Briys, E.、De Varenne, F.(1997)。Valuing Risky Fixed Rate Debt: An Extension。Journal of Financial and Quantitative Analysis,32(2),239-248。
2.
Chae, Kyung Chul、Lee, Sang Min(20050600)。An Absorbing Markov Chain Approach to GI/M/1 Queues with Generalized Vacations。Asia Pacific Management Review,10(3),163-167。
3.
Chang, Shih-chieh、Tu, Chang-ye、Tsai, Chenghsien(20050800)。Pension Fund Management Using the Markov Chain Approximation。Asia Pacific Management Review,10(4),259-266。
4.
黎明淵、林修葳(20000600)。日、韓、港、新與臺灣等亞洲主要股市報酬變異分析--多重波動性狀態馬可夫轉換模型的應用。亞太管理評論,5(2),183-198。
延伸查詢
5.
Jarrow, R. A.、Lando, D.、Turnbull, S. M.(1997)。A Markov Model for the Term Structure of Credit Risk Spreads。Review of Financial Studies,10(2),481-523。
6.
Jones, E.、Mason, S.、Rosenfeld, E.(1984)。Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation。The Journal of Finance,39,611-627。
7.
Shimko, D.、Tejima, N.、Van Deventer, D.(1993)。The Pricing of Risky Debt When Interest Rates Are Stochastic。Journal of Fixed Income,3,58-65。
8.
Black, F.、Cox, J. C.(1976)。Valuing Corporate Securities: Some Effects of Bond Indenture Provisions。The Journal of Finance,31(2),351-367。
9.
Kijima, M.、Komoribayashi, K.(1998)。A Markov Chain Model for Valuing Credit Risk Derivatives。Journal of Derivatives,6(1),97-108。
10.
Lando, D.(1998)。On Cox processes and credit risky securities。Review of Derivatives research,2(2),99-120。
11.
Longstaff, Francis A.、Schwartz, Eduardo S.(1995)。A Simple Approach to Valuing Risky Fixed and Floating Rate Debt。Journal of Finance,50(3),789-819。
12.
Duffie, Darrell、Singleton, Kenneth J.(1997)。An econometric model of the term structure of interest rate swap yields。Journal of Finance,52(4),1287-1321。
13.
Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance,50(1),53-85。
14.
Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。
15.
Brennan, Michael J.、Schwartz, Edwardo S.(1978)。Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure。Journal of Business,51(1),103-114。
16.
Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society,57(2),357-384。
17.
Merton, Robert C.(1974)。On the pricing of corporate debt: The risk structure of interest rate。Journal of Finance,29(2),449-470。
18.
Peruga, R.、Kaminsky, G.(1990)。Can a Time-Varying Risk Premium Explain Excess Returns in the Forward Market for Foreign Exchange?。Journal of International Economics,28,47-70。
19.
Engle, C.、Hamilton, J. D.(1990)。Long Swing in the Dollar: Are They in the Data and Do Markets Know It?。The American Economic Review,80,689-713。
20.
Kuo, C. J.、Lu, S. L.(2005)。Taiwan's Financial Holding Companies: An Empirical Investigation Based on Markov Regime-switching Model。Applied Economics,37,593-605。
21.
李樑堅、張志向(1998)。應用模糊綜合評判模式於銀行中小企業非財務比率分析項目之授信評估。亞太管理評論,3(2),209-225。
延伸查詢
22.
Lu, S. L.、Kuo, C. J.(2005)。How to Gauge the Credit Risk of Guarantee Issues in Taiwanese Bills Finance Company: An Empirical Investigation Using a Market-based Approach。Applied Financial Economics,15(16),1153-1164。
23.
Ogden, J. P.(1987)。Determinants of Ratings and Yields on Corporate Bonds: Tests of the Contingent-claims Model。The Journal of Financial Research,10,329-339。
24.
Titman, S.、Torous, W.(1989)。Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-claims Approach to Pricing Risky Debt。The Journal of Finance,44,345-373。
25.
Turner, C. M.、Startz, R.、Nelson, C. R.(1989)。A Markov Model of Heteroskedascticity, Risk, and Learning in the Stock Market。Journal of Financial Economics,25,3-22。
研究報告
1.
The Basel Committee on Banking Supervision(2004)。International Convergence of Capital Measurement and Capital Standards: A Revised Framework。Bank for International Settlement。
2.
Zhou, C.(1997)。Jump-Diffiision Approach to Modeling Credit Risk and Valuing Defaultable Securities。Washington, D. C:Federal Reserve Board。
3.
Kim, I. J.、Ramaswamy, K.、Sundaresan, S.(198908)。The valuation of corporate fixed income securities。White Center, University of Pennsylvania。
4.
Crouhy, M.、Galai, D.(1997)。Credit Risk Revisited: An Option Pricing Approach。0。
其他
1.
Vasicek, O. A.(1984)。Credit Valuation,0。
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3.
Pension Fund Management Using the Markov Chain Approximation
4.
An Absorbing Markov Chain Approach to GI/M/1 Queues with Generalized Vacations
5.
日、韓、港、新與臺灣等亞洲主要股市報酬變異分析--多重波動性狀態馬可夫轉換模型的應用
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