多因子動態經濟資本模型 : 總體經濟 VAR 模型的應用

We construct a loss distribution of corporate loan portfolio and use multifactor model to construct default correlation between obligors. The equity return of each obligor is the trigger variable. When the obligor’s equity return is below a threshold, the obligor will default. Under the systematic effect of macroeconomic factors and the structural LGD model, the probability of default (PD) of each obligor is correlated with his loss given default (LGD). In order to obtain dynamic economic capital adjusted with macroeconomic circumstances, we apply vector autoregressive model in predicting macroeconomic factors and use Monte Carlo simulation to generate a conditional portfolio loss of 537 Taiwanese firms loan portfolio conditional on macroeconomic circumstances. By using conditional loss distribution in planning economic capital, banks can lend more and earn more money during the period of economic expansion and lend less to keep more capital during the period of economic distress. Also, we conduct scenario analysis and find how the expected loss, unexpected loss, VaR, and economic capital respond to these shocked scenarios. Under these shocked scenarios, the change of expected loss is unsymmetrical. In the case of unfavorable scenario, the expected loss will increase, and the change of economic capital will depend on the relative changes of VaR and expected loss.