2008年由連動債所引發的金融海嘯堪稱二十一世紀金融市場最大的金融風暴，該風暴形成主因乃係因於2007年中時，美國多家被S&P評等為A級以上的大型企業（如：房利美、房地美、雷曼兄弟、花旗銀行）遭受次級房貸風暴影響引發一連串財務危機，此波金融風暴令大眾開始質疑事前的信用評等能否等值反映公司經營體質以及償債能力，即信用評等機構的公信力已為市場所質疑；對此問題，本研究將有擔保公司債納入混合模型（Hybrid Model）進行信用風險的衡量，期望藉此發現對於公司信用風險衡量有所貢獻。
本研究經由比較傳統公司會計資訊模型、Benos and Papanastaspoloulos (2007)所提出修正後Moody’s KMV信用風險模型以及Hybrid Model三項模型對企業信用風險進行相關性計量行為探討之外，為使模型能真實地反映受評公司信用評等狀況的變動情形，本研究亦將受評公司信用評等波動度參數納入模型中（稱修正後Benos and Papanastaspoloulos, 2007模型），用以檢測曾經於本研究樣本期間內（2002年12月至 2008年9月）發行擔保公司債的上市上櫃企業的信用風險，並比較兩項修正後Moody’s KMV模型的預測精確性。
經由實證結果發現：當我們同時考量企業會計資訊與市場資訊後，修正後Benos and Papanastaspoloulos (2007)模型較傳統會計資訊模型及Benos and Papanastaspoloulos (2007)模型對公司信用風險預測能力皆顯著地提昇，該結果隱含於評估企業信用風險時，應同時考量會計資訊、企業市場資訊以及企業的信用評等資訊，才能更真實且精確地反映受評企業的信用風險狀況，雖然企業會計資訊的揭露不具備即時性，然而企業會計資訊對企業信用風險狀況而言，仍具有充份地資訊內涵。

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表目錄 IV
圖目錄 IV
第一章　緒論 1
第一節 研究動機 2
第二節 研究目的 3
第三節 研究貢獻 4
第四節 研究架構 5
第貳章　文獻探討 7
第一節 信用風險 7
第二節 企業信用風險評價模型 9
第三節 信用評等 13
第四節 信用評等與企業信用風險評價 18
第參章　研究方法 20
第一節 信用風險模型 20
第二節 會計模型 22
第三節 修正後BSM模型(Benos and Papanastasopoulos, 2007) 25
第四節 本研究模型（修正後Benos and Papanastasopoulos, 2007模型） 35
第五節 Hybrid Model 39
第六節 假說建立 41
第肆章　實證結果分析 47
第一節 樣本資料 47
第二節 會計模型實證 51
第三節 本研究Moody’s KMV相關模型效率驗證 53
第四節 假說實證結果分析 59
第五章　結論與建議 70
第一節 結論 70
第二節 建議 72
參考文獻 73

中文部份

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3. 陳俊佑, 2005，公司治理對信用評等之影響，東吳國際貿易學系碩士班國際金融組碩士論文。
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7. 蔡明熹, 2004，商業銀行企業信用評等模式之研究－以「製造業」與「批發及零售業」為例，輔仁大學應用統計學研究所碩士論文。
8. 謝明憲, 2006，信用評等對銀行業效率之影響分析，國立高雄第一科技大學金融營運系碩士論文。
9. 簡珮如, 2004，總體經濟、財務資訊與公司治理變數對公司財務危機機率預測之影響，銘傳大學財務金融學系碩士論文。
10. 羅靖霖與林彥豪, 2006，台灣上市櫃市場KMV模型實證分析」，貨幣觀測與信用評等，第六十一期，94-104頁。
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