台湾金融机构适中资本之压力测试.pdf

Review of Financial Risk Management 27 96 27-61 Stress Testing of Taiwanese Bank Adequacy capital Chung-Hua Shen Kun-Li Lin Department of Money and Banking Department of Money and Banking National Chengchi University National Chengchi University (stress testing) 1313 1994120041211 Wilson (1997a, 1997b) 10 JEL C15, G21, G28, G33 * **11664 TEL 886-281020 FAX 886-2 E-mail chshen@nccu.edu.tw 28 96 3 Abstract Stress testing the potential vulnerability of financial institutions to exceptional but plausible macroeconomic events is an important tool in assessing financial stability. This study tries to employ the data of Joint Credit Information Center (JCIC), including probability of default, loss given default, exposure at default of thirteen Taiwanese industry-specific sectors and the ratio of individual bank loans to industry-specific sectors, over the time period from January 1994 to December 2004. We apply the credit models that explicitly links macroeconomic factors and industry-specific sector default rates was developed by Wilson (1997a, 1997b) to analyze the loan loss of individual bank in normal and scenario analysis, respectively. In the pa