A comparative analysis of credit risk management models for banking industry using simulation

Hsin Hung Chen, Ben Chang Shia, Hsiu Yu Lee

研究成果: 書貢獻/報告類型會議貢獻

摘要

Risk management is an issue that has become increasingly important. Basel II Accord has been widely discussed since it was proposed. However, the comparative analysis of CreditMetrics with Basel II Accord has not been found in previous literatures. The objective of this study is to compare CreditMetrics with Basel II Accord using empirical data and simulation programs. Moreover, the fitness of the standard for Basel II Accord which proposed the minimum requirement of 8% of capital to risk-weighted assets is discussed in this study. The records of the data system in a bank listed by the Taiwan Stock Exchange Corporation (TSEC) were used as the empirical data in this research. The results showed that the expected loss calculated by the 8% capital ratio defined in Basel II is clearly lower than the Credit VaR obtained from the CreditMetrics model.
原文英語
主出版物標題Communications in Computer and Information Science
頁面554-562
頁數9
208 CCIS
版本PART 1
DOIs
出版狀態已發佈 - 2011
對外發佈Yes
事件2011 International Symposium on Applied Economics, Business and Development, ISAEBD 2011 - Dalian, 中国
持續時間: 八月 6 2011八月 7 2011

出版系列

名字Communications in Computer and Information Science
號碼PART 1
208 CCIS
ISSN(列印)18650929

其他

其他2011 International Symposium on Applied Economics, Business and Development, ISAEBD 2011
國家中国
城市Dalian
期間8/6/118/7/11

    指紋

ASJC Scopus subject areas

  • Computer Science(all)

引用此

Chen, H. H., Shia, B. C., & Lee, H. Y. (2011). A comparative analysis of credit risk management models for banking industry using simulation. 於 Communications in Computer and Information Science (PART 1 編輯, 卷 208 CCIS, 頁 554-562). (Communications in Computer and Information Science; 卷 208 CCIS, 編號 PART 1). https://doi.org/10.1007/978-3-642-23023-3_83