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博碩士論文 etd-0119109-121946 詳細資訊
Title page for etd-0119109-121946
論文名稱
Title
台灣市場公司規模與信用風險關係之研究 —KMV模型的再探討
Researching the relation betwen company size and credit risk in Taiwan stock market --- A further study of KMV model
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
97
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2008-06-01
繳交日期
Date of Submission
2009-01-19
關鍵字
Keywords
公司規模、門檻迴歸模型、違約點、違約機率
Moody’s KMV
統計
Statistics
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中文摘要
新巴賽爾資本協定(Basel II)實施到今年已屆滿一年多,這段期間適逢美國次級房貸危機,使得信用風險管理議題再度被廣泛討論,許多研究更致力於建構一個有效的信用風險評估模型作為衡量企業風險的重要工作,形成未來風險管理發展關鍵一環。觀諸於此,信用風險探討的議題眾多,舉凡國內與國外相關研究皆力求一個最適合且最佳的風險衡量模型以觀察不同公司類型為依歸,因此本研究藉由Moody’s KMV公司建立的 KMV模型發展適用於衡量台灣上市櫃公司違約機率之模型,以供風險決策者或企業參考。
在Moody’s KMV模型中,其令違約點的定義為短債加上二分之一長債。由於地區國情、企業規模與公司不同的財務結構以及產業類型的差異,此違約點的定義是否具一般性則需加以驗證,否則將導致錯估企業的違約機率以及風險程度的衡量而形成錯誤的判斷,因此本研究以Moody’s KMV模型為基礎,輔以門檻迴歸法,對違約點的定義做新的詮釋,以公司規模為門檻,找出是否存在結構性轉折,並檢驗在利用門檻迴歸的模型之下,新的違約點定義是否相較於原始Moody’s KMV模型定義更有判別能力。
本研究結論摘要如下:
本研究以門檻迴歸模型分別對三個公司規模的代理變數進行門檻點檢定,發現ln(營業收入淨額)與ln(營業收入淨額+營業外收入),對台灣上市上櫃企業違約點之影響均存在著顯著的門檻效果。藉由門檻迴歸模型實證結果所定義的修正後違約點,估算『修正後』Moody’s KMV違約機率,並以K-S、Mann-Whitney U檢定發現利用門檻迴歸模型修正違約點所估算出之違約機率,可以顯著地辨認出正常公司與違約公司的分配狀況。
本研究利用CAP與ROC檢驗修正後的Moody’s KMV違約機率的預測能力與效率性,發現考慮公司規模後,修正之違約點所估算的違約機率其預測能力與效率性均優於傳統Moody’s KMV模型。
Abstract
none
目次 Table of Contents
第一章 緒論 1
第一節 研究動機背景 1
第二節 研究目的 6
第三節 研究架構流程 8
第二章 相關理論與文獻探討 9
第一節 違約定義 9
第二節 信用風險簡介 9
第三節 信用風險模型 10
一、歷史模型(1990以前) 10
二、結構式、縮減式模型(1990以後) 12
第四節 Moody’s KMV信用風險評估模型介紹 17
第五節 門檻迴歸模型介紹 19
第六節 為何要檢驗公司規模是否具有門檻效果 20
第三章 研究方法與模型架構 21
第一節 研究步驟與方法 21
第二節 運用Moody’s KMV模型計算公司資產價值與其波動性 22
第三節 Broyden法與牛頓法的比較與介紹 26
第四節 門檻迴歸模型推導與應用 30
第四章 實證結果與分析 35
第一節 樣本來源與分析 35
第二節 財務變數說明 39
第三節 Moody’s KMV模型之門檻迴歸實證分析與結果 40
第四節 門檻修正後Moody’s KMV模型的K-S檢定 42
第五節 比較門檻修正後模型與原始模型間的預測能力與效率性 45
第五章 結論與建議 50
第一節 研究結論 50
第二節 後續建議 51
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