The Integration of Market Risk and Credit Risk and Its Related Impact on a BHC Value Creation Model---An Emperial Evidence in Taiwan(1988-2007)

After conducting the role of risk taking and its impact on the performance of Bank Holding Companies in Taiwan in last project, this project would further examine the rationale of the integration of market risk and credit risk from both a banking perspective and empirical evidence in Taiwan. After modeling the banking behavior referenced, this project would check their support in Taiwan over the recent years from 1988. Both Basel Accord in 1988 and 2007 BaselⅡ are benchmarks to examine the effect of Basel regulation for the integration of market risk and credit risk. This project would firstly develop a BHC business model and then evaluate its effect, partially from the view of BaselⅡ regulation.

Project ID:PF9709-1885
External Project ID:NSC97-2410-H182-006-MY2