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引文資料
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 probability
;
Bank loan
;
Credit cycle
;
Risk premium
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:
1
共同引用:
2
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.
以文找文
期刊論文
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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.
Altman, E.、Resti, Andrea、Sironi, Andrea(2004)。Default recovery rates in credit risk modelling: A review of the literature and empirical evidence。Economic Notes,33(2),183-208。
4.
Lu, Su-lien、Kuo, Chau-jung(20060400)。The Default Probability of Bank Loans in Taiwan: An Empirical Investigation by the Markov Chain Model。Asia Pacific Management Review,11(2),111-122。
5.
Wei, J. Z.(2003)。A multi-factor, credit migration model for sovereign and corporate debts。Journal of International Money and Finance,22(5),709-735。
6.
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。
7.
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8.
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9.
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10.
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11.
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12.
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13.
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14.
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17.
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18.
Merton, Robert C.(1974)。On the pricing of corporate debt: The risk structure of interest rate。Journal of Finance,29(2),449-470。
19.
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。
20.
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。
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.
Kim, I. J.(1999)。A Way to Condition the Transition Matrix on Wind。Credit Risk Special Report,October,37-40。
24.
Litterman, R.、Iben, T.(1991)。Corporate Bond Valuation and the Term Structure of Credit Spreads。Financial Analysts Journal,17(3),52-64。
25.
Copeland, L.、Jones, S. A.(2001)。Default Probabilities of European Sovereign Debt: Market-based Estimates。Applied Economics Letters,8(5),321-324。
26.
Carty, L. V.、Lieberman, D.(1996)。Defaulted Bank Loan Recoveries。Moody's Special Report,November,1-9。
27.
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28.
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30.
Harrison, J. M.、Pliska, S. R.(1981)。Martingales and Stochastic Integrals。Stochastic Processes and Their Applications,August,215-260。
31.
Fons, J.(1987)。The Default Premium and Corporate Bond Experience。The Journal of Finance,62,81-97。
32.
Hull, J.、White, A.(1995)。The Impact of Default Risk on the Prices of Options and Other Derivative Securities。Journal of Banking & Finance,19,299-322。
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.
Kim, I. J.、Ramaswamy, K.、Sundaresan, S.(198908)。The valuation of corporate fixed income securities。White Center, University of Pennsylvania。
3.
Madan, D.、Unal, H.(1995)。Pricing the Risks of Default。0。
圖書
1.
Belkin, B.、Suchower, S.、Forest, L., Jr.(1998)。A One-parameter Representation of Credit Risk and Transition Matrices。A One-parameter Representation of Credit Risk and Transition Matrices。0。
2.
Kreps, D.(1982)。Multiperiods Securities and the Efficient Allocation of Risk: A Comment on the Black-scholes Option Pricing Model。The Economics of Uncertainty and Information。Chicago, IL。
其他
1.
Wilson, T.(1997)。Credit Risk Modeling: A New Approach,New York, NY。
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