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題名:An Approach to Condition the Transition Matrix on Credit Cycle: An Empirical Investigation of Bank Loans in Taiwan
書刊名:Asia Pacific Management Review
作者:Lu, Su-lien
出版日期:2007
卷期:12:2
頁次:頁73-84
主題關鍵詞:Default probabilityBank loanCredit cycleRisk premium
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:2
  • 點閱點閱:124
Credit risk models for credit rating transitions are important ingredients for credit risk management. This paper propose a formal model, conditional Markov chain model, for gauging credit risk and apply it to Taiwan's bank loans from 1998-2003. The model's central feature is to incorporate credit cycle and time-varying risk premium into transition matrices. There are three main contributions. First, we apply the methodology to bank loans in Taiwan, which is more elaborate than previous studies. Second, the empirical results show that credit cycle and risk premium have significant influence on default probabilities. That is, if we ignore credit cycle and risk premium, default probabilities may be underestimated. Third, the estimation procedures for assessing the credit risk of financial institutions are easy to follow and implement. On the whole, the proposed model can provide more reliable estimated results for credit risk of bank loans.
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研究報告
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圖書
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