完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | 陳瑞娟 | en_US |
dc.contributor.author | Jui-Jan Chen | en_US |
dc.contributor.author | 王克陸 | en_US |
dc.contributor.author | Dr. Kehluh Wang | en_US |
dc.date.accessioned | 2014-12-12T02:59:16Z | - |
dc.date.available | 2014-12-12T02:59:16Z | - |
dc.date.issued | 2005 | en_US |
dc.identifier.uri | http://140.113.39.130/cdrfb3/record/nctu/#GT009339504 | en_US |
dc.identifier.uri | http://hdl.handle.net/11536/79706 | - |
dc.description.abstract | 本研究以國內某商業銀行之中小企業授信戶為研究對象,依據各項授信資料建立信用風險模型,主要依據瑞士信貸第一波士頓銀行(Credit Swiss First Boston, CSFB)所提出的CreditRisk+建立中小企業授信戶之違約損失分配,希望藉此模型協助金融機構,在管理中小企業授信戶之信用風險時,能精確估計提列信用損失準備金,以因應非預期信用風險發生時的可能損失,提供金融機構管理信用風險的另一種模型。其研究結果如下: 1. 為了順利建立CreditRisk+模型,本研究利用非線性迴歸模型估計各信用等級之違約機率,其中信用等級A,其違約機率為0.12%;信用等級B,其違約機率為0.36%;信用等級C,違約機率為1.08%。呈現信用等級越差,違約機率越大之趨勢。 2. 運用CreditRisk+模型,建立投資組合之預期違約損失分配,求得各種百分位損失水準的臨界值資訊,精確的估計提列信用損失準備金:為因應當債權人發生非預期損失,銀行需要準備的額外自有資金為730,033千元,此為經濟資本。年度信用準備提撥金額(ACP)即是預期違約損失金額110,266千元。此外,當極端狀況出現時(99%水準),附加信用準備上限(ICR cup)為840,299千元,此項金額的功能主要為用來彌補年度信用準備之不足。 | zh_TW |
dc.description.abstract | The main purpose of this paper is to investigate the credit risk of the small and medium enterprises in Taiwan. CreditRisk+ model is adopted to analyze important variables and to establish the loss distribution. Financial institutions can estimate appropriate credit provisions and provide protection against unexpected losses. Our empirical results include: 1. We estimate the default rate by nonlinear regression. It is 0.12% for rank A, 0.36% for rank B and 1.08% for rank C. 2. Using H bank’s data about SMEs to estimate the loss distribution and to calculate the provision, the economic capital is 730,033 thousand dollars which is a cushion for unexpected credit default losses. The Annual Credit Provision (ACP) is the expected loss of 110,266 thousand dollars, and the ICR Cap is 840,299 thousand dollars. | en_US |
dc.language.iso | zh_TW | en_US |
dc.subject | 信用風險加成模型 | zh_TW |
dc.subject | 暴險額 | zh_TW |
dc.subject | 違約機率 | zh_TW |
dc.subject | 違約損失分配 | zh_TW |
dc.subject | 經濟資本 | zh_TW |
dc.subject | 損失準備 | zh_TW |
dc.subject | CreditRisk+ | en_US |
dc.subject | Credit Exposure | en_US |
dc.subject | Default Rates | en_US |
dc.subject | Loss Distribution | en_US |
dc.subject | Economic Capital | en_US |
dc.subject | Annual Credit Provision | en_US |
dc.title | 中小企業信用風險加成模型之實證研究-以台灣之H銀行為例 | zh_TW |
dc.title | CreditRisk+ Model for Small and Medium Enterprises:The Case of H bank in Taiwan | en_US |
dc.type | Thesis | en_US |
dc.contributor.department | 財務金融研究所 | zh_TW |
顯示於類別: | 畢業論文 |