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將轉移矩陣估計應用在主權評等與外匯投資 = Estimating Tra...

倪季平

將轉移矩陣估計應用在主權評等與外匯投資 = Estimating Transition Matrices : Applications to Sovereign Risk and Exchange Rate Investment

Record Type:	Language materials, printed : monographic
Paralel Title:	Estimating Transition Matrices
Title Information:	Applications to Sovereign Risk and Exchange Rate Investment
Author:	倪季平,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	2014[民103]
Description:	71葉部分彩圖，表 : 30公分;
Subject:	轉移矩陣
Subject:	transition matrices
Online resource:	https://hdl.handle.net/11296/nj365h
Notes:	108年10月31日公開
Notes:	參考書目：葉35-36
Summary:	近幾年來，信用轉移矩陣已被大量投入至風險管理的領域，因為這些矩陣提供管理者一個簡單的評等轉變可能性(機率)，讓決策者能更有效的制定決策。本文將會介紹兩種適用於個體資料型態的估計方法，群組法和危險率法，以及一種適用於比例資料型態的估計方法，並且討論這些估計值的性質和準則，如：一致性、有效性等等。本文將這些估計方法實際應用到國家主權資料與公司財務資料上，資料方面考慮了19個國家的月資料，和50間美國製造業公司的季資料。另一方面，也會針對不同估計方法的結果做討論，比較表現之間的差異性。最後，我們會將國家主權資料估計結果與外匯投資組合做結合，以選取最佳投資組合，並在不同的投資策略下進行討論，比較各個投資策略表現的好壞。 Credit migration matrices are cardinal inputs to many risk management applications, and these matrices provide a succinct way of describing the evolution of credit ratings. This paper presents three methods to estimate transition matrices, including two methods by using individual data, the cohort approach and the hazard rate approach, and one method by using aggregate proportions data. We will also show some properties of these estimators, for example, row sum condition, non-negativity condition, consistency, efficiency, and so on. We provide estimating results and their comparisons for both sovereign data and company data. In case studies, we consider monthly data of more than 19 countries and quarterly data of more than 50 companies. In addition, we discuss the merits of estimators by comparing their performances. Furthermore, we will apply the transition matrices to foreign exchange portfolio, and selecting the best foreign exchange portfolio by transition matrices.

將轉移矩陣估計應用在主權評等與外匯投資 = Estimating Transition Matrices : Applications to Sovereign Risk and Exchange Rate Investment
倪, 季平

將轉移矩陣估計應用在主權評等與外匯投資 = Estimating Transition Matrices : Applications to Sovereign Risk and Exchange Rate Investment / 倪季平撰 - [高雄市] : 撰者, 2014[民103]. - 71葉 ; 部分彩圖，表 ; 30公分.
108年10月31日公開參考書目：葉35-36.
轉移矩陣transition matrices

將轉移矩陣估計應用在主權評等與外匯投資 = Estimating Transition Matrices : Applications to Sovereign Risk and Exchange Rate Investment
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328 $a 碩士論文--國立高雄大學統計學研究所
330 $a 近幾年來，信用轉移矩陣已被大量投入至風險管理的領域，因為這些矩陣提供管理者一個簡單的評等轉變可能性(機率)，讓決策者能更有效的制定決策。本文將會介紹兩種適用於個體資料型態的估計方法，群組法和危險率法，以及一種適用於比例資料型態的估計方法，並且討論這些估計值的性質和準則，如：一致性、有效性等等。本文將這些估計方法實際應用到國家主權資料與公司財務資料上，資料方面考慮了19個國家的月資料，和50間美國製造業公司的季資料。另一方面，也會針對不同估計方法的結果做討論，比較表現之間的差異性。最後，我們會將國家主權資料估計結果與外匯投資組合做結合，以選取最佳投資組合，並在不同的投資策略下進行討論，比較各個投資策略表現的好壞。 Credit migration matrices are cardinal inputs to many risk management applications, and these matrices provide a succinct way of describing the evolution of credit ratings. This paper presents three methods to estimate transition matrices, including two methods by using individual data, the cohort approach and the hazard rate approach, and one method by using aggregate proportions data. We will also show some properties of these estimators, for example, row sum condition, non-negativity condition, consistency, efficiency, and so on. We provide estimating results and their comparisons for both sovereign data and company data. In case studies, we consider monthly data of more than 19 countries and quarterly data of more than 50 companies. In addition, we discuss the merits of estimators by comparing their performances. Furthermore, we will apply the transition matrices to foreign exchange portfolio, and selecting the best foreign exchange portfolio by transition matrices.
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