臺灣博碩士論文加值系統

評估營建公司之信用風險在營建業之風險管理上是一個重要的議題，然而過去很少研究著重於評估營建公司之信用風險程度。由於現有的結構型信用風險模型與縮減型信用風險模型在應用上存在一些限制，並不能完全滿足營建業之信用風險評估之實務應用。對營建業而言，現金流量狀況能相當程度反應營建公司之償債能力。因此，本研究引用Liao & Chen (2006) 所發展出來的現金流量信用風險模型進行營建業之信用風險評量。本研究透過現金流量信用風險模型求出營建公司未來三年之信用風險分數後，與標準普爾(Standard and Poor)對各營建公司發出之信用評等作比較，衡量現金流量信用風險模型於各年判別信用風險高低之排序能力，以評斷使用此現金流量信用風險模型於營建業信用風險之適用性。
研究結果顯示，現金流量信用風險模型在未來一年之判別信用風險能力為優(AUC為0.8000)，在未來二年、未來三年之判別信用風險能力在可接受之範圍內(AUC 分別為0.7765與 0.7647)。因此，現金流量信用風險模型適合運用於營建業之信用風險衡量上。另外，現金流量信用風險模型僅需要會計報表中的現金流資訊，適用於上市或非上市之營建公司，能更為廣泛地應用於營建業之信用風險評量上。由於現時信評機關只提供小部份營建公司之評等，現金流量信用風險模型能提供一快捷便利的方法供使用者對缺乏信用評等之營建公司作評量。

Though assessing the credit risk of construction contractors is a crucial issue in construction risk management, few researches focus on credit risk assessment for construction industry. Due to some limitations in the existing credit risk models (the structure-form models and the reduced-form models), they do not fully satisfy the demands for the credit risk assessment of construction industry. Since cash flows to large extent reflect a contractor’s capacity to meet its financial obligations, this study employ a flow based credit model proposed by Liao and Chen (2006) to assess the credit qualities of construction contractors. This study employs the Area Under Curve (AUC) to evaluate the model’s discriminatory performances in ranking the credit qualities of construction contractors in three years using Standard and Poor’s issuer credit ratings as the benchmarks.
The empirical results show that the cash flow based credit model are with an excellent discriminatory performance in one year (AUC=0.8000) and with acceptable performances in 2 year (AUC: 0.7765) and 3 year (AUC: 0.7647). These indicate the cash flow based credit risk model is useful in assessing the credit quality of construction contractors. In addition, the cash flow based credit risk model is applicable in both listed and private construction contractors as it only requires information of accounting statements. Since only a small portion of construction contractors are rated by rating agency, the cash flow based credit model is especially useful in credit risk assessment of unrated construction contractors.

ACKNOWLEDGEMENTS I
ABSTRACT IN CHINESE II
ABSTRACT IN ENGLISH III
TABLE OF CONTENTS IV
LIST OF FIGUERS VII
LIST OF TABLES VIII


Chapter 1. Introduction 1
1.1 Background 1
1.2 Motivations and Problem Statements 3
1.2.1 Credit Risk Assessment for Construction Industry 3
1.2.2 The Unique Cash Flow Risk in Construction Industry 6
1.3 Purposes and Contributions 9
1.4 Procedure of the Research 10
1.5 Framework of the Thesis 10
Chapter 2. Literature Review 11
2.1 Credit Risk Models 11
2.2 Financial Ratio-Based Models 13
2.3 Free Cash Flow to Firm 20
2.4 Cash Flow Based Credit Model 23
2.5 Summary 25
Chapter 3. Methodology 26
3.1 Framework of Research Methodology 26
3.2 The Cash Flow Based Credit Model 29
3.2.1 A Firm’s State-Dependent Cash Flow Credit Model 29
3.2.2 Estimation of a Firm’s Weighted Average Cost of Capital 31
3.3 Model Evaluation Approach (ROC curve) 32
3.4 Summary 33
Chapter 4. Data Collection and Empirical Application 34
4.1 Data and Sample Selection 34
4.2 Free Cash flow Proxy and Data Summary 38
4.3 Factor Analysis and Parameter Estimations of the State Model 39
4.4 Parameters Estimations of the Present Value Model 41
4.4.1 Estimation of a Firm’s Weighted Average Cost of Capital 41
4.4.2 Estimation of Constant Growth Rate of a Firm 43
4.4.3 Estimation of the Shift Term to a Firm’s Cash Flow Paths 43
4.5 The Setting of Default Thresholds 45
4.6 Credit Quality Score and Model Discriminatory Power 46
4.7 Summary 50
Chapter 5. Conclusions 51
References 54

Appendixes 60
Appendix I US Business Cycle Expansions and Contractions (NBER) 60
Appendix II The Description of Standard & Poor''s Issuer Credit Ratings Categories (Compustat Database) 61
Appendix III The Time Series of Free Cash Flow Pattern of Construction Firms 63
Appendix IV Factor Analysis of Firm’s Free Cash Flows 66
Appendix V Maximum Likelihood Algorithm for Factor Generating Formula 70
Appendix VI Cash Flow Shift Term Estimates 72

Abidali, A. F. and Harris, F. (1995). "A methodology for predicting company failure in the construction industry." Construction Management and Economics, 13(3), 189 - 196.
Agarwal, V., and Taffer, R. (2008). “Comparing the performance of market-based and accounting-based bankruptcy prediction models.” Journal of Banking & Finance, 32, 1541–1551.
Altman, E. I. (1968). “Financial ratios, discriminant analysis and the prediction of corporate bankruptcy.” Journal of Finance, 23(4), 589-609.
Andersen, T.G., Bollerslev, T., Diebold, F.X., Ebens, H. (2001) “The distribution of realized stock return volatility,” Journal of Financial Economics, 61(1), 43–76.
Arora, N., Bohn, J. R. and Zhu, F. (2005). Reduced form vs. structural models of credit risk: a case study of three models.” Moody’s KMV Company.
Beaver, W. H. (1966). "Financial ratios as predictors of failure." Journal of Accounting Research, 4, 71-111.
Bharath, S. T., and Shumway, T. (2008). “Forecasting default with the merton distance to default model.” The Review of Financial Studies, 21(3), 1339-1369.
Black, F., and Scholes, M. (1973). “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, 81(3), 637-654.
Blum, M. (1974). “Failing company discriminant analysis.” Journal of Accounting Research, 12(1), 1-25.
Campbell, J. Y., and Hentschel, L. (1992). “No news is good news: An asymmetric model of changing volatility in stock returns.” Journal of Financial Economics, 31, 281-318.
Campbell, J. Y., Hilscher, J., Szilagyi, J. (2008). “In search of distress risk.” Journal Of Finance, American Finance Association, 63(6), 2899-2939.
Chen, R. R. (1996). “Understanding and managing interest rate risks.” World Scientific, Chapter 5.
Chen, T.-K., Liao, H.-H., Lu, C.-W. (2011). “A flow-based corporate credit model.” Review of Quantitative Finance and Accounting, 36(4), 517-532
Chin, H. W. (2009) “A barrier option framework for predicting insolvency of construction firms,” M.S. Thesis of Civil Engineering Department, National Taiwan University.
Collin-Dufresne, P. and Gold-stein, R. (2001). “Do credit spreads reflect stationary leverage ratios?” Jounral of Finance, 56, 1929-1957.
Crosbie, P., and Bohn, J. (2003). “Modeling Default Risk.”Moody’s KMV, < http://www.moodyskmv.com/research/files/wp/ModelingDefaultRisk.pdf> (Dec. 18, 2003).
Deakin, E. B. (1972). “A discriminant analysis of predictors of business failure.” Journal of Accounting Research, 10(1), 167-179.
Duffie, D. and Singleton, K. J. (1999). “ Modeling the term structures of defaultable bonds.” Review of Financial Studies, 12,687-720
Edmister, R. (1972). “An empirical test of financial ratio analysis for small business failure prediction.” Journal of Financial and Quantitative Analysis, 7(2), 1477-1493.
Edum-Fotwe, F., Price, A. and Thorpe, A. (1996). "A review of financial ratio tools for predicting contractor insolvency." Construction Management and Economic, 14, 189-198.
Fan, Joseph P.H., Titman, S., Twite, G. (2006). “An international comparison of capital structure and debt maturity choices.” WorkingPaper. The Chinese University of Hong Kong
Gharghori, P., Chan, H. and Faff, R. (2006). "Investigating the performance of alternative default-risk models: Option-based versus accounting-based approaches." Australian Journal of Management, 31(2), 207-234.
Hillegeist, S. A., Keating, E. K., Cram, D. P., Lundstedt, K. G. (2004).“Assessing the probability of bankruptcy.” Review of Accounting Studies, 9, 5–34.
Horngren, C. T. and Harrison, W. T. (2007). Accounting, Pearson Education.
Hosmer, D. W., and Lemeshow, S. (2000). “Applied logistic Regression.”2nd Ed., John Wiley & Sons, Inc. New York
Ibbotson Associates (2010). “Stocks, Bonds, Bills and Inflation.” Ibbostson Associates, annual.
Jarrow, R. A., Lando, D. Turnbull, S.M. (1997). “A Markov model for the term structure of credit risk spreads.” Review of Financial Studies, 10(2), 481-523.
Jarrowa, R. A. and Protterb, P. (2004). "Structural versus reduced form models: A new information based perspective." Journal Of Investment Management, 2(2), 1-10.
Jarrow, R. A. and Turnbull, S. M. (1995). “Pricing derivatives on financial securities subject to credit risk.” Journal of Finance, 50, 53-86
Kangari, R., Farid, F. and Elgharib, H. M. (1992). "Financial performance analysis for construction-industry." Journal of Construction Engineering and Management, 118(2), 349-361.
Lando, D. (1998). “On cox processes and credit risky securities.” Review of Derivatives Research, 2, 99-120
Leland, H. and Toft, K. (1996). “Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads.” Journal of Finance, 51, 987–1019.
Liao, H.-H. and Chen, T.K. (2006). “A cash flow based multi-period corporate credit model”. Available at SSRN: http://ssrn.com/abstract=753304
Litterman, R. and Iben, T. (1991): "Corporate bond valuation and the term structure of credit spreads", The Journal of Portfolio Management, 52-64.
Longstaff F. and Schwartz, E. (1995). “A simple approach to valuing risky fixed and floating rate debt.” Jounral of Finance, 50,789-819
Mason, R. J. and Harris, F. C. (1979) “Predicting Company Failure in the Construction Industry” Proceedings Institution of Civil Engineers, 66, 301-307.
Merton, R. C. (1974). “On the pricing of corporate debt: the risk structure of interest rates.” The Journal of Finance, 29(2), 449-470.
Navon, R. (1994). "Company-level cash-flow management." Journal of Construction Engineering and Management, 122(1), 22-29.
Ohlson, J. A. (1980). "Financial ratios and the probabilistic prediction of bankruptcy." Journal of Accounting Research, 18(1), 109-131.
Osama, J. M. (1997). “Reasons for construction business failures in Saudi Arabia.” Project Management Journal, 28(2), 32-36.
Park, H.-K. (2004). "Cash flow forecasting in construction project." KSCE Journal of Civil Engineering, 8(3), 265-271.
Park, H. K., Han, S. H., Russell, J. S. (2005). “Cash flow forecasting model for general contractors using moving weights of cost categories.” Journal of Management in Engineering, 21(4), 164-172
Peer, S., and Rosental, H. (1982). “Development of cost flow model for industrialized housing.” Nat Build. Res. Station, Technion, Haifa, Isreal (in Hebrew)
Ross, S. A., Westerfield, R. W. and Jaffe, J. F. (2005). “Corporate Finance.” 7th ed., McGRAW-HILL.
Reisz, A. S., and Perlich, C. (2007). “A market-based framework for bankruptcy prediction.” Journal of Financial Stability, 3(2), 85–131.
Russell, J. S. and Zhai, H. M. (1996). "Predicting contractor failure using stochastic dynamics of economic and financial variables." Journal of Construction Engineering and Management, 122(2), 183-191.
Schweser, K. (2008). Free Cash Flow Valuation, CFA Institute.
Severson, G. D., Jaselskis, E. J., and Russell J. S. (1993) “Trends in Construction Contractor Financial Data” Journal of Construction Engineering and Management, 119(4), 854-858.
Severson, G. D., Russell, J. S. and Jaselskis, E. J. (1994). "Predicting Contract Surety Bond Claims Using Contractor Financial Data." Journal of Construction Engineering and Management,. 120(2), 405-420.
Singh, S. and Lakanathan, G. (1992). “Computer-Based Cash Flow Model.” Proceedings of the 36th Annual Transactions of the American Association of Cost Engineers - AACE, R.5.1-R.5.14.
Taffler, R. J. (1984).“Empirical models for the monitoring of UK corporations.”Journal of Banking and Finance, 8(2), 199-227.
Tserng, H. P., Liao, H. H.,Tsai, L. K., Chen, P. C. (2010) “Predicting Construction Contractor Default with Option-Based Credit Models –Models’ Performance and Comparison with Financial Ratio Models.” Journal of Construction Engineering and Management, 137(6), 412-420.
Vassalou, M., and Xing, Y. (2004). “Default Risk in Equity Returns.”Journal of Finance, 59(2), 831-868.
Wang, W.-P. (2010). “Predicting Construction Contractor Financial Distress in Taiwan – Integration of Accounting-based & Market-based Models” M.S. Thesis of Civil Engineering Department, National Taiwan University.
Wharton Research Data Services (2010). The Wharton School of the University of Pennsylvania. < http://wrds.wharton.upenn.edu> (Jul. 1,2010)
Yu, F. (2005) ‘‘Accounting Transparency and the Term Structure of Credit Spreads,’’ Journal of Financial Economics, 75(1), 53-84