臺灣博碩士論文加值系統

During the period of the financial crisis, many companies faced an uncertain cash flow. This hardship is the reason why they could not pay their debt on time and thus raising their possibility of default. Therefore, the purpose of our study is to discuss the relationship between cash flow risk and corporate financial distress. Our sample consists of all the publically listed non-financial companies extracted from Taiwan Stock Exchange (TWSE). We use Cash-Flow-at-Risk (CFaR) model to estimate company’s cash flow risk and also use Merton’s (1974) model to calculate a company’s probability of default for comparison with CFaR model.
The empirical results show that the CFaR model has an accuracy which can accurately estimate corporate CFaR. In addition, in our in-sample, CFaR model is an excellent model which has a high predictive accuracy capability and is capable of being an early warning system for corporate financial distress.

Content
Chapter1 Introduction 1
Chapter2 Methodology 14
2.1 Data Collection 14
2.2 Definition of Default 14
2.3 Definition of Cash-Flow-at-Risk 18
2.4 Calculating Cash-Flow-at-Risk 19
2.5 Merton Model 25
2.6 Model Performance Test 29
2.6.1 Back Testing 29
2.6.2 Receiver Operating Characteristic (ROC) 31
2.6.3 Kolmogorov-Smirnov (KS) Test 33
2.6.4 Comparison of the CFaR and Merton Models 35
Chapter3 Empirical Results 36
3.1 Sample Collection 36
3.2 Descriptive Statistics 38
3.2.1 Descriptive Statistics of CFaR Model 38
3.2.2 Descriptive Statistics of Merton Model 40
3.3 CFaR Analysis 42
3.4 Model Performance Analysis 48
3.4.1 CFaR Model Back Testing Analysis 49
3.4.2 CFaR Model Performance Analysis 51
3.4.3 Comparison of the CFaR and Merton Models Analysis 52
Chapter4 Conclusion 55
Reference 58

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