Final Examination
Quick Review
• Risk Definition
• Three parameters for credit risk measurement
– Exposure at default (E)
– The loss in the event of default (LIED) or severity (S)
– The default probability (P)
• The calculation of EL and UL
– E and S are fixed values
– E and S are random variable
Quick Review
• Losses due default
• Losses due to downgrade and default
• Losses over multiple years
– Probability of grade migration (Table 18-1)
– Three types of default probability: cumulative,
marginal and conditional
Quick Review
• Estimating the default probability
– The z-score (accounting-based information)
versus the DD (market-based information)
– The detail definition
– The limitations
– What is the power curve?
Quick Review
• Use certain tables to find the values of P,
E and S
• Consider an illustrative example:
– a A-rated firm from Food industry
– One-year line of credit=100M with 40%
drawn-down percentage
– Calculate the EL and UL
– Calculate the MPL under a specific probability
– Decide the economic capital
成功大學管理學院AACSB建議
考題
• 什麼是AACSB?
AACSB為國際商管學院認證組織，全名為
Association to Advance Collegiate Schools
of Business。
• 什麼是教學多元評估(Multiple
Assessment)?
教學多元評估(Multiple Assessment)是一種
以結果(目標/能力)為導向的教學方式
(Outcome-based Learning)。目的在建立改
善學生學習成效，及學習困難之回饋與輔
導機制，以促進學生主動參與學習活動，
達到深度學習 (Deep Learning)的目標。
• 本院的五大核心能力(Learning Goal)為何?
– Goal 1：Communication Skills (COMMU)
– Goal 2：Creative Problem Solving &
Innovation (CPSI)
– Goal 3：Leadership Skills (LEAD)
– Goal 4：Global Awareness (GLOB)
– Goal 5：Values, Skills & Professionalism
(VSP)
• 本院的使命(Mission)及願景(Vision)各為
何?
– 本院的使命(Mission)如下：
– 秉持務實的校風與傳統，在全球化的經濟中，
以窮理致知、務實創新及邁向卓越之願景，培
育學生成為具有社會責任感的管理專才及企業
領袖。(serve business and society in the
global economy through developing quality
and socially responsible professional and
business leaders.)
– 本院的願景(Vision)如下：
– Become a leading business school in AsiaPacific region through:
• Truth and Knowledge (窮理致知)
• Pragmatism and Innovation (務實創新)
• Growth and Excellence (邁向卓越)
• 會計系的使命(Mission)及願景(Vision)各
為何?
– 會計系的使命(Mission)如下：
– Explore and advance theories and practices
in accounting to cultivate competitive
professionals with ethical integrity, innovative
capabilities and an international perspective.
• 會計系的願景(Vision)如下：
– PI3
– Professionalism
– Integrity
– Innovation
– Internationalization