考量總體經濟環境之信用評等移轉矩陣: 使用修正式信用循環指標法及信用投資組合法

Translated title of the contribution: Credit Migration Matrix Conditioned on Macroeconomic Factors: Using Modified Credit Cycle Index and Credit Portfolio View Methods

Keh-Luh Wang

Research output: Contribution to journalArticlepeer-review

Abstract

The purpose of this study is to investigate the impact on credit migration matrix due to changes in business cycle, and calculate related default probabilities Credit migration matrix plays a crucial role in many credit risk models. We modify Wilson (1997a, 1997b) and Kim (1999), using TCRI credit rating data and various macroeconomic variables from 1970 to 2004 to estimate the transition matrix conditional on economic status AR (1) GARCH (1, 1) model is proposed to simulate the macroeconomic variable and adjust the unconditional credit migration probabilities The major empirical results reveal that, Credit Cycle Index model is more consistent with the expected decline in default probabilities for the speculative firms when business is in expansion; and Portfolio View model can provide. higher default probabilities during recession periods. In particular, lower rating firms exhibit higher volatility in default probabilities.
Translated title of the contributionCredit Migration Matrix Conditioned on Macroeconomic Factors: Using Modified Credit Cycle Index and Credit Portfolio View Methods
Original languageChinese (Traditional)
Pages (from-to)241 - 268
Number of pages28
Journal台大管理論叢
Volume19
Issue number1
DOIs
StatePublished - 1 Dec 2008

Keywords

  • credit migration matrix
  • credit cycle index
  • credit portfolio view

Fingerprint Dive into the research topics of 'Credit Migration Matrix Conditioned on Macroeconomic Factors: Using Modified Credit Cycle Index and Credit Portfolio View Methods'. Together they form a unique fingerprint.

Cite this