Business Forum 97 94 97-108 Basel 1. (Basel ) (2004) 2006 Basel (Probability of Default) (Standardized Approach) IRB (Foundation Internal Rating- Based Approach, FIRB) PD PD (Default Correlation) PD LGD? (1) Basel?(2) (Economic Capital, EC) (Regulatory Capital, RC)?(3)PD??(4)?(5)?(6)PIT TTC? Basel 272 Basel Basel I Basel PD 2. PD10 Basel Basel 272 PD PD272 PD
98 94 6 Review of Financial Risk Management 272 1 2.1 PD 11 1 PD PD Crosbie and Jeff (2003) Saunders and Allen(2002) 2.2 PD? PIT TTC? 1 2 3 PD PD (through-the-cycle, TTC)(point-intime, PIT)2 2 PIT 33 Y PD XBasel I OECD0 100 S&P Moody s FitchPD 3 TTC (Discriminate Analysis) (Logistic Regression) PD PD Merton Model PD 3PIT?! (Advance Notice of Proposed Rulemaking, ANPR) PIT TTC( 41)? ()
Business Forum 99 1 Basel II272 2.3 PITTTC ANPR 41!1 PIT
100 94 6 Review of Financial Risk Management 2 PIT TTC 3 PD
Business Forum 101 PIT (Mark-to- Market) TTC TTC PIT TTC (Procyclicality) (Conditional Optimal) 1997 PIT Basel Basel 3 2.4 (R) 1 4 5 (System Risk)Basel 272RR (Asset Correlation) R (2005) Basel 4 Lopez(2002) BaselPD PD k(k-factor) 50 35 0.12 0.24 (2004) 5,000 R R 0.03 0.16 RMA(2003) Basel
102 94 6 Review of Financial Risk Management BIS(2004c) Basel Ref: BIS(2004c) 4 Basel
Business Forum 103 2.5 16 Basel Gordy(2002) (Asymptotic Single Risk Factor, ASRF) (1) (2) 5 Gordy (2002) 272 Basel 770-777 Ref: BIS(2004c) 5 Basel
104 94 6 Review of Financial Risk Management 2.6 17 ISDA2004 5 4 4 Risk(2003) (Credit Default Swap, CDS) Basel (first to basket to default swap) 2.7 IRB 18 PD IRB(Advanced Internal Rating- Based Approach, AIRB) Basel ( 472473) LGD 468 Downturn LGD BIS(2004d) 2.8? 1 9 10 (Procyclicality)? 6 (Business Cycle, BC) (PD) (K)
Business Forum 105 (sell assets) (raise capital) (curtail lending ) 6 TTC Gordy (2004) David (2003) Procyclicality (RC) (EC) Basel (Pillar 3) procyclicality (2004) (Basel Committee on Banking Supervision, BCBS) Jaime Caruana Basel (long-run average) Basel procyclicality (EC) Basel (RC) Caruanaprocyclicality Basel procyclicality 2.9 111 (Back Testing) (Stress Testing) (2004) PIT
106 94 6 Review of Financial Risk Management 6 procyclicality PIT TTC 2.10 Basel 110 Basel II (forward- looking) (asymmetric information) 3. QIS4 Basel II
Business Forum 107?? Basel II! (2003a) (2003b) (2004)Basel (2004)Basel (2004) (2005):Default Correlation Asset Correlation (2004) (2005) : Basel Committee on Banking Supervision(2003) The New Basel Capital Accord, Third Consultative Document Basel Committee on Banking Supervision(2004a) International Convergence of Capital Measurement and Capital Standards, A Revised Framework Basel Committee on Banking Supervision(2004b) Implementation of Basel : Practical Considerations Basel Committee on Banking Supervision(2004c), An Explanatory Note on the Basel IRB Risk Weight Functions Basel Committee on Banking Supervision(2004d), Background note on LGD quantification Caruana J. (2005a), Monetary Policy and Financial Stability, 33 rd Economics Conference. Caruana J. (2005b), Basel and Corporate Governance Issues, 2 nd IFSB Summit. Catarineu-Rabell (2003), Procyclicality and the new Basel Accord- banks choice of loan rating system, Working Paper, Bank of England Crosbie P. J. and Jeffrey R.B.(2003), Modeling Default Risk, Working Paper, KMV. David R.(2003), No cure through the cycle, Risk Magazine. Gordy (2002) A Risk Factor Model Foundation for Rating Based Bank Capital Rules, http://www.financerisks.com/credit%20risk.htm Gordy M. and Bradley(2004), Procyclicality in Basel Can we Treat the Disease Without Killing the Patient., Board of Governors of the Federal Reserve System.
108 94 6 Review of Financial Risk Management Lopez J. A.(2002), The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size, FRBSF Working Paper. Olson, M. W.(2005), Basel II, At the Annual Washington Briefing Conference of the Financial Women's Association, Washington, D.C. Risk Management Association (2003), Retail Credit Economic Capital Estimation Best Practices Saunders A. and Allen L. (2002), Credit Risk Measurement New Approaches to Value at Risk and Other Paradigms, Wiley.
A4 Developing and Validating Credit Scoring Model for Taiwan's Enterprises Key Words Key Words: neural, logistic regression model logistic, expected default frequency (EDF) JEL JEL Journal of Economic LiteratureJEL Classification No. 1. 1.Introduction 2. 2. Literature Review 2.1 2.1 Logistic regression model 2.1.1 2.1.1 WORD (WORD) 1 Figure 1 1 Table 1 1 1 Figure A1 Table A1 12 (:)
1 2 3... 1 2 Appendix A1 Appendix A2 a, b, c et al. Rajan and Zingales (1998) Greenspan (1999) (Banking Shocks) Ongena et al (2003) 1988-1991 Greenspan(1999) Greenspan (1999) Last Name 2003 20 721-748 1999 12 88-102 (2001) References Brown, S. J. and J. B., Warner (1985), Using Daily Stock Returns: The Case of Event Studies, Journal of Financial Economics, 14, 3-31. Elsas, R. and Krahnen, J. P. (1998), Is Relationship Lending Special? Evidence from Credit-File Data in Germany, Journal of Banking & Finance, 22, 1283-1316. Kavvathas, D. (2001), Estimating Credit Rating Transition Probabilities for Corporate Bonds, Working Paper, University of Chicago.