In order to get maximum profit, investors start to high attention on risk management after financial crisis in 2008. Therefore, risk management and predict become more and more complex. This paper mainly focuses on two risks, including non-systematic risk and credit risk. After financial crisis, countries pay more attention on credit risk, and now because of Europe debt crisis, investors and governments are
also concerned with the messages about credit rating which are published by Credit Rating Agency. Besides credit risk, the firm¡¦s specific risk (i.e. non-systematic risk) is also more important than before. Recent empirical studies find that the stock is not on
affected by systematic risk, but also affected by non-systematic risk.
According to Kuo and Lu (2005), this thesis uses two models: Moody¡¦s KMV credit model and Markov regime switching model to estimate credit risk and non-systematic risk. The period is from January 2002 to November 2010. Testing samples are data from constituent stocks of the Taiwan 50. The purpose of this paper is researching the relationship between credit risk and non-systematic risk.
The empirical results show that there is the positive relationship between non-systematic risk and credit risk. And among different industries, non-systematic risk or credit risk also shows the significant differences. For plastic industry and
communications network industry, there is lower credit risk. However, for electronics industry and financial industry, there is higher credit risk. The study also found that even in the same industry, each company will face different risk level.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0621112-040425 |
| Date | 21 June 2012 |
| Creators | Wang, Hsin-ping |
| Contributors | Chau-jung Kuo, Chin-ming Chen, Guang-Er Lai, Hsiao-Jung Chen |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0621112-040425 |
| Rights | user_define, Copyright information available at source archive |
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