Construct the risk of Taiwan credit system

• Main Authors: TAY-WEY LEE, 李泰衛
• Other Authors: Chih-Kang Chu
• Format: Others
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/40690282914666853862

碩士 === 國立東華大學 === 應用數學系 === 101 === Systemic risk is market risk. This risk by diversification of investments can’t be offset or eliminate, We construct a credit risk index to measure Taiwan’s economy. We collect the data from Taiwan Economic Journal, the ARMOS database and GDBAS. We assess the default probability that is produced using the discrete-time hazard model and default intensity model, such a default probability is called the credit systemic risk index in this paper. Then, we use mutiple linear regression to compare the adjusted R-square by different sets of the variables. We find that the systemic risk index base on Shumway's variables is better than others.