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研究生： 林承潔
Lin, Cheng-Chieh
論文名稱： 非齊一違約相關性之分析
The Analysis of Non-constant Default Correlation
指導教授： 黎明淵
Li, Ming-Yuan
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2015
畢業學年度： 103
語文別： 英文
論文頁數： 44
中文關鍵詞： 違約相關性 、違約機率 、信用風險
外文關鍵詞： default correlation, default probability, credit risk
相關次數： 點閱：123  下載：2 
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    • 本篇論文探討不同公司間的同時違約風險，有隨著時間變化的特徵。利用美國上市公司的破產歷史資料，求得共同違約機率後便可估計違約相關係數，並將公司獨有特性以及總體經濟因素視為影響因子，個別檢視因子與違約相關性之間的關聯。根據實證結果，違約相關性隨著信用等級的改善而有降低的趨勢，且與資產規模、股票交易量、經濟蕭條以及 Beta 值等因子間有顯著的關係，最後並驗證違約機率與違約相關性皆具有非齊一的性質。

    The aim of this study is devoted to the time-varying behaviors in joint default risk. Using a historical dataset of bankruptcy events in US, covariant default probabilities are computed to assess default correlations. Driven by firm-specific characteristics and macroeconomic factors, such as credit quality, firm asset size, trading volume, economic downturn and market beta, the interrelation between variables and joint default are investigated respectively. The empirical results show the common pattern that default correlations decrease as credit quality improves. What’s more,　obviously correlated features are also observed when we take the other variables into account. All these findings indicate that both default probabilities and default correlations vary over time.

    摘要....................................................I Abstract...............................................II 誌謝..................................................III Contents...............................................IV Tables.................................................VI 1. Introduction.........................................1 2. Literature Review and hypotheses Development.........4 2.1 Practical Credit Risk Models........................4 2.2 Reasons for Default Clustering......................6 2.2.1 Cyclical Correlation..............................6 2.2.2 Contagion.........................................7 2.2.3 Learning from Default.............................8 2.3 Hypothesis Development..............................8 3. Data Measurement and Methodology....................11 3.1 Data Selection.....................................11 3.1.1 Definition of Default Firm.......................11 3.1.2 Selection of Non-default Firms...................12 3.1.3 Identification of Credit Quality.................12 3.2 Correlation Theory.................................13 3.2.1 Joint Probability of Default.....................14 3.2.2 Default Correlation..............................15 4. Empirical Results...................................17 4.1 Descriptive Statistics.............................17 4.2 Evidences for Default Correlations.................18 4.2.1 With Different Credit Qualities..................18 4.2.2 With Different Asset Sizes.......................20 4.2.3 With Different Trading Volumes...................21 4.2.4 Under Different Economic States..................21 4.2.5 With Different Betas.............................22 5. Implications and Applications.......................24 5.1 For Firm-Specific Characteristics..................24 5.2 For Common Factors.................................26 6. Conclusions.........................................28 References.............................................30

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