The Forecast of the Systemic Credit Risk of Taiwan's Banking System and its Use in Implementing Basel III Capital Requirements
2014/03/11
研討會日期 : 2014-03-11
時間 : 14:30
主講人 : Professor Ching-Fan Chung
地點 : Conference Room B110
演講者簡介 : Professor Chung received his Ph.D. in Economics from University of Wisconsin-Madison in 1987. He is currently a Professor at Department of Quantitative Finance in National Tsing Hua University and Joint Research Fellow at Institute of Economics, Academia Sinica. His research fields are Econometrics, Applied Financial Economics, and Applied Microeconomics.
演講摘要 : In this paper we develop an empirical model for a banking system that consists of regression equations for industries' and consumers' loan default rate as well as a vector autoregressive model for macroeconomic variables that are shown to exert significant influences over loan defaults. Based on the estimated results of such a system, we are able to simulate the credit loss distribution for the entire banking system from individual loans and calculate the Value at Risk (VaR) as a measure of the systemic credit risk. This framework is then applied to Taiwanese banking credit data that include over a million of individual credit exposure, credit rating, as well as loss given default samples. Both estimation and simulation require a huge amount of computation time. The result from our study can be used as an empirical foundation for implementing Basel III capital requirements for systemic credit risks.
