新巴賽爾資本協定內部模型之實證研究-著重於資產報酬相關係數

The Internal Rating Based Model in New Basel Accord — Focusing on the calibration of Asset Return Correlation.

蕭育仁(Yu-Ren Hsiao)

指導教授 ： 鍾 麗 英 ； 賴 慧 文

元智大學/管理學院/財務金融學系/碩士(2004年)

摘要

The asymptotic single risk factor approach (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital requirements are to be determined under the Basel II. Within this approach, a key regulatory parameter is the average asset return correlation. In this paper, I examine the empirical relationship between the asset return correlation, firm probability of default and firm asset size in five models. According to previously theoretical background, I separate these models into two parts. First part I called Market Correlation Model, which conclude Basel and KMV’s factor Model, and the results in these models advocate the explanation for a higher asset return correlation of large firms may be that they are better diversified than small firms. Second part I called Asst Value Correlation Model, which conclude one factor model; default correlation model and structure model, and the results in these models advocate the issue of “financial accelerator” which means macroeconomics shocks should have a stronger impact on small firms and we should observe a higher asset return correlation. Especially in structure model which I devised, it not only concludes the advantage of Market Correlation Model but also combines the default point in Asset value correlation model. Furthermore, I prove the one factor model and default correlation model under some conditions are the same. In our empirical results, we can find that the range of asset return correlation in Basel Model is the largest range number than others and I also find the volatility of probability default has a strong impact on asset return correlation.

關鍵字

新巴賽爾資本協定 ； 資產報酬相關係數 ； 一因子模型

並列摘要

無資料

並列關鍵字

New Basel Accord ； Asset Return Correlation Coefficient ； one factor model

參考文獻

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