| Summary: | 碩士 === 國立臺北大學 === 企業管理學系碩士在職專班 === 103 === In the innovation trend of financial liberalization, internationalization and finance, as new financial products lack of information and experience, people cannot make risk research on those new products. The difficulty of maintaining the financial systematic stability has been greatly increased. A long-term stable financial environment makes financial institutions lose vigilance against risk. IMF, World Bank, Bank for International Settlements, and other international financial organizations, recommended monetary authorities should list stress testing as an important tool to monitor the risk and frailty of the financial system. Therefore, stress testing is becoming an important risk management tool in recent years.
Most of stress incidents are coming from macro-economy. So a macro-economic model is constructed to describe the relationship between the general economic variables. Marco-economic model often contains unknown parameters that need to be estimated, based on macro-economic variables time series data. With the macro-economic model, it can be clearly defined the stress incidents and the stressful situations resulting from them.
This study is to introduce the stress test framework, a macro-economic model required to set up stress test, and Credit risk models link. In reference to the public rating data from Taiwan Economic Journal (TEJ) and operate in coordination the macro-economic model, to survey the indicators’ changes and the effects to each rating levels, and to strengthen financial institutions credit assessment. Stress situation construction requires to collect external economic data, reference the relationship among macro-economic variables. Macro-economic model requires statistics and measurement methods to build up. When a macro-economic model is well built, it can construct stress test scenarios according to various assumptions or historical incidents that had been occurred.
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