違約機率及違約損失率之相關性及異質性對信用損失的影響：台灣上市櫃公司的實證研究

Impacts of Heterogeneity and Correlations between PD and LGD on Credit Loss: Empirical Study in Taiwan

10.6277/ter.2010.384.5

鍾經樊(Ching-Fan Chung)；黃嘉龍(Jia-Long Huang)

信用風險損失模型 ； 違約機率 ； 違約損失率 ； 相關性 ； 異質性 ； 風險值 ； credit risk loss model ； loss given default ； probability of default ； correlation ； heterogeneity ； value at risk

經濟論文叢刊

38卷4期（2010 / 12 / 01）

561 - 592

繁體中文

本文針對上市公司的銀行貸款建立一個包含違約機率(PD)與違約損失率(LGD)的聯合信用風險模型，其中PD是由股票報酬率與受信用評等影響的報酬門檻所共同決定，LGD則是由公司權益負債比及資產的擔保力所共同決定。本文進一步假設影響PD之股票報酬率與影響LGD之權益負債比均受總體因子的影響，而資產的擔保力則是由三種不同資產（金融資產、不動產、及其他）占總資產之比例以及對應之折扣率所合組而成的一個指標。這個聯合模型的基本特色是PD與LGD會同時受到總體因子的影響而彼此相關，我們因而可探討這種相關性對違約損失的影響，這是信用風險損失文獻所少見。根據本文擬議之聯合模型的實證與模擬分析，我們發現損失分配的風險值可大於現行文獻中所常假設之固定LGD下的風險值，我們還發現企業債務人之LGD的相關性與異質性尤其會對風險值有很大的影響。本文的主要結論是忽略PD與LGD之間的相關性可能會嚴重低估風險。

This paper tries to build a joint credit risk model for PD and LGD and apply it to listed companies in Taiwan as a portfolio. PDs are allowed to depend on expected stock returns, which represent the systematic factor, as well as return thresholds based on risk ratings. LGDs are assumed to depend on asset values and equity/debt ratios, in which asset values are decomposed into three components with different ”guarantee powers” while equity/debt ratios are also assumed to be affected by the systematic factor. The key idea of this joint model is that PD and LGD are both affected by the systematic factor and therefore correlated. We find from our simulation results that the VaR is larger than it would be with fixed LGD and that LGD correlations among corporate obligators as well as LGD heterogeneity have substantial influence over VaR. The main conclusion therefore is that credit risk can be seriously underestimated by neglecting the correlation between PD and LGD.

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