並列摘要
An important issue in Basel Ⅱ is the calculation of portfolio credit risk. The motivation of this study is that, in Basel Ⅱ, there is a formula used to calculate the required regulatory capital for a bank's loan portfolio without considering possible concentration problem. The concentration of exposures in a credit portfolio can arise either because of its small size or because of large exposures to specific individual obligors. Emmer and Tasche (2005) proposed an analytical approximation method to calculate the required capital to cover the potential concentration effect. In this paper, we derive the exact distribution and credit Value-at-Risk (VaR) of the portfolio loss under one-factor model with some specified situations which stand for different degrees of concentration. To evaluate the performances for different risk models, we compare the estimated VaRs obtained from Emmer and Tasche (2005) and Basel Ⅱ regulatory capital rule to the exact VaR.
參考文獻
延伸閱讀
- 柯瓊鳳（2003）。Credit Derivatives and Credit Risk Disclosure。台灣金融財務季刊，4(3)，41-55。https://www.airitilibrary.com/Article/Detail?DocID=16079256-200309-4-3-41-55-a
- 鄭玄宜（2006）。The Study of Currency Portfolios and day-of-the-week effects〔碩士論文，國立臺中科技大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0061-1811200915323509
- Huang, T. L. (2007). Corporate Diversification and Credit Risk [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2007.00909
- 吳昱農（2022）。The Consideration of the Creditor’s Interest in Prescription〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU202200151
- 劉任庭（2015）。The Comparisons of Robust Portfolio Selections〔碩士論文，國立暨南國際大學〕。華藝線上圖書館。https://doi.org/10.6837/NCNU.2015.00321