摘要(英) |
To meet supervisory requirement of Basel II and get efficient control on banking risks, commercial banks in Taiwan showed great efforts to improve their risk management system in recent years.
This paper provides a credit risk quantification system for private firms, whose credit risks are most difficult to handle for commercial bankers. Also, commercial bankers can employ the structure of this paper to examine the performance of their loan policy.
This paper employs Moody’s KMV model and Private Firm Model® to estimate the expected default frequency (EDF), and refers to Moody’s LossCalcTM to construct loss given default (LGD) forecasting model. Incorporating EDF, LGD with other given parameters, this paper calculates Credit VARs of different loan portfolios, and analyzes them across various dimensions.
The empirical results show: (1) Private Firm Model is suitable for the banking market in Taiwan, and the industry regression approach dominates over comparables median approach. (2) Industry, firm size, collaterals, collateral seniority and credit records have significant effects upon probability of default. (3) The ratio of seniority setting, par value of loan, economic growth rate and regional bounced ratio all have significantly positive correlations with recovery rate, while the unemployment rate is negatively correlated with recovery rate. (4) Both industry and firm size have significant effects upon unexpected loss rate, which is the proxy of overall credit risk in this paper. (5) Earning management behavior has a significant effect upon credit risk. |
參考文獻 |
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