資產相關係數:台灣商用不動產之實證研究

Asset Correlation: The Empirical Analysis of Commercial Real Estate in Taiwan Market

黃彥傑(Yen-Chieh Huang)

指導教授 ： 姜一銘

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2011年)

摘要

這篇研究中，我們利用台灣公開上市市場中的商用不動產投資資料檢測其資產相關係數的實證研究。首先，我們使用Black-Scholes-Merton模型和資本資產訂價模型(CAPM)去計算出台灣商用不動產投資公司的個別違約機率及相關係數；之後，我們去檢測其違約機率與資產相關係數的的關係，可以發現我們的實證研究顯示公司違約機率和資產相關係數的關係為負向顯著的，與Lopez的結果及巴賽爾協定的規定一致。
根據新巴賽爾協定，在特殊放款中又可以細分為五種分類，其中收益型商用不動產(IPRE)及高波動型商用不動產(HVCRE)的目標標的皆為商用不動產，並且我們所挑選的公司收益來源和特殊放款的要求極為相似。更進一步的，我們計算出新巴賽爾協定的資產相關係數標準值，比較台灣從事商用不動產投資公司的資產相關係數是否屬於收益型商用不動產或高波動型商用不動產；最後，我們的實證結果並不能明確的指出台灣營建業的相關係數是屬於哪一種規範。

關鍵字

新巴賽爾資本協定 ； 布萊克－修斯－莫頓模型 ； 資產相關係數

並列摘要

In this study, we empirically examine the individual asset correlation of commercial real estate in the Taiwan market. We first use all the commercial real estate data from Taiwan for the years 2000 through 2009 to determine the probability of default and asset correlation by using the Black-Scholes-Merton model and the capital asset pricing model. We then test the relation between the probability of default and the asset correlation. Our empirical findings show the relationship is significantly negative, which is consistent with Lopez (2009) and Basel IIs requirement.
According to Basel II, there are five sub-classes of specialized lending. Among these sub-classes, are the real estate classes of income-producing real estate (IPRE) and high-volatility commercial real estate (HVCRE). As the income source of commercial real estate is similar to specialized lending as defined in Basel II, we compare whether the estimated value of asset correlation belongs to IPRE or HVCRE. However, based on our empirical findings, we are unable to indicate which requirement the Taiwan commercial real estate belongs to.

並列關鍵字

The New Basel Accord ； Black-Scholes-Merton model ； Asset correlation

參考文獻

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