查詢結果分析
來源資料
頁籤選單縮合
題 名 | 違約機率驗證之檢定=Testing for Probability of Default Validation |
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作 者 | 張揖平; 洪明欽; 尹晟龢; | 書刊名 | 中國統計學報 |
卷 期 | 47:2 2009.06[民98.06] |
頁 次 | 頁113-128 |
分類號 | 563.1 |
關鍵詞 | 違約機率; 驗證; 檢定力; 資產相關性; Probability of default; Validation; Power; Asset correlation; |
語 文 | 中文(Chinese) |
中文摘要 | 巴塞爾銀行監理委員會(The Basel Committee on Banking Supervision,簡稱BCBS)(2005)提供了四種檢定方法給採用內部評等法(internal-rating based approach)的銀行和監理機關進行違約機率(probability of dofault)驗證(validation),其中traffic lights test是值得使用的方法。資產相關性(asset correlation)是銀行考慮資產組合信用風險(portfolio credit risk)的重要因素,本文考慮資產相關性對違約機率驗證的影響,提出一個修正之traffic lights test,由模擬結果顯示修正之traffic lights test有較佳的表現。 |
英文摘要 | The Basel Committee on Banking Supervision (BCBS) (2005) proposes four testing methods for probability of default validation to the internal-rating based approach banks and supervisory agencies. BCBS (2005) also comments that the traffic lights test is a promising method for probability of default validation. Asset correlation is the key factor for measuring the portfolio credit risk. In this paper, we propose a modified traffic lights test for probability of default validation to cover the possible adverse effect due to asset correlation. A simulation study shows that the modified traffic lights test has satisfactory performances. |
本系統中英文摘要資訊取自各篇刊載內容。