Title page for etd-0620109-165325


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URN etd-0620109-165325
Author Yi-mei Lee
Author's Email Address No Public.
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Department Finance
Year 2009
Semester 1
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Endogenous credit risk model:the recovery rate, the probability of default,and the cyclicality
Date of Defense 2009-06-05
Page Count 111
Keyword
  • quantile regression model
  • threshold regression model
  • recovery rate
  • probability of default
  • Abstract Several reports research the best prediction power of the credit risk models for different industries. The structural models use firm’s information for firms’ structural variables, such as asset value and asset volatility, to determine the time of default, but it suffer from some drawbacks, which represent the main reasons behind their relatively poor empirical performance. It require estimates for the parameters of the firm’s asset value, which is nonobservable. Moody's KMV model is well known and useful among them, but it ignores recovery rate and difference in financial structure and industry. The reduced-form models fundamentally differ from typical structural models in the degree of predictability of the default. Reduced-form models use market data and assume the probability of default is exogenously generated. However, the basel committee for banking supervision proposed that risk is endogenous.
    The purpose of this paper is using quantile and threshold regression to introduce a new approach which is based on the Moody’s KMV model, the Lu and Kuo ( 2005) and the Altman, Brooks Brady, Resti and Sironi (2005) to the evaluation of the endogenous probability of default and the endogenous recovery rate.
    Advisory Committee
  • Hsiao-Jung Chen - chair
  • Chin-ming Chen - co-chair
  • Kuo,Chau-jung - advisor
  • Files
  • etd-0620109-165325.pdf
  • indicate accessible in a year
    Date of Submission 2009-06-20

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