資產相關係數：模型和順景氣循環

Asset Correlation: Modeling Issues and Procyclicality

楊智凱(Chih-Kai Yang)

指導教授 ： 李詩政

元智大學/管理學院/財務金融學系/碩士(2009年)

摘要

本篇提供實務的方法來計算資產相關系數，比較其和違約機率、公司規模的關係和其是否有產業效果或順景氣循環(Procyclicality)的現象。藉由莫頓模型(Merton)和資本資產定價模型(CAPM)從1988到2007年間，結果發現資產相關系數和違約機率成負相關，此結果和巴賽爾資本協定所訂定的公式一致。此外，資產相關系數和公司規模亦呈正相關且存在產業效果。最後如同違約機率和違約損失率，資產相關系數亦有順景氣循環現象。更發現其不對稱的順景氣現象，也就是當景氣蕭條時，相較於景氣繁榮其和資產相關系數負相關的程度會顯著增加。在健全性考量(Robustness checks)下，不論在風險中立或是主觀違約機率，前述的結果均不改變。

關鍵字

新巴賽爾資本協定 ； 一因子模型 ； 莫頓模型 ； 資產相關係數 ； 規模效果 ； 產業效果 ； 順景氣循環

並列摘要

We provide an empirical methodology to estimate individual asset correlation, and test their relation to default probability and test whether it has size effect, industry effect or procyclicality phenomenon. Incorporate with Merton option pricing model (OPM) and Capital asset pricing model (CAPM) in year 1988 to 2007, our results indicate that the negative relation between asset correlation and default probability, which is in line with capital requirements formula provided by Basel II. Further, we find asset correlation is positive relative to firm size and it has industry effect. Finally, like default probability and loss given default, asset correlation has procyclicality phenomenon. We further find asymmetric procyclical on asst correlation such that in recession periods, the increase in asset correlations are more pronounced compare to boom periods. For robustness checks, all of previous results do not change if we use objective default probability rather than risk-neutral world.

並列關鍵字

The New Basel Accord ； Asymptotic single risk factor (ASRF) ； Merton model ； Asset correlation ； Size effect ； Industry effect ； Procyclicality

參考文獻

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