臺灣博碩士論文加值系統

本文欲探討在沒有歷史違約分配下，公司的違約點是否與KMV模型定義的違約點相同。本研究首先以Probit模型與Merton模型估計公司過去的預期違約點，並且檢驗這些違約點是否不同於KMV模型；其次，使用門檻迴歸檢驗過去的預期違約點與長短債之間是否存在負債比之門檻變數；最後，檢驗長短債的係數是否異於KMV模型的假設。本研究結果如下：(1)公司過去的預期違約點顯著異於KMV模型，並且顯著大於KMV模型定義的違約點；(2)因為融資程度不同，公司過去的預期違約點與長短債之間存在結構性轉變，且短債與長債係數幾乎皆分別顯著大於Moody’s KMV公司定義的一與二分之一。

This paper examines whether the corporation’s default point is different from KMV model without the default distribution. First, we adopt Probit regression model and Merton option model to estimate the past expected default points and then exam these default points. Second, we use threshold regression model to test whether the debt ratio threshold variable exists between default point and short term and long term debt. Finally, we verify whether the coefficients of short term and long term debt are different from the KMV model. Our empirical results indicate that the past expected default points differ from the KMV model. According to leverage ratio, there is a structural change between historical default points and short term and long term debt. The results shows the coefficients of short term and long term debt are almost significantly greater than the KMV model

第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 4
第三節 研究目的 7
第四節 研究架構 7
第二章 文獻回顧 9
第一節 財務危機定義 9
第二節 信用風險模型概述 14
第三節 傳統信用風險模型 14
第四節 市場模型法 19
第三章 研究模型 26
第一節 PROBIT模型 26
第二節 MERTON模型 28
第三節 KMV模型 33
第四節 門檻迴歸模型(THESHOLD REGRESSION MODEL) 36
第四章 實證結果 42
第一節 資料來源 42
第二節 模型變數定義 43
第四節 研究流程 49
第五節 以PROBIT模型預測過去的違約機率(PAST-EDF) 50
第六節 過去預測的違約點(PAST-EDP) 59
第七節 檢驗KMV模型之違約點定義 63
第五章 研究結論與建議 67
第一節 研究結論 67
第二節 後續研究建議 68
參考文獻 69
中文部分 69
西文部分 71
參考網站 74
附錄 75

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參考網站
1.台灣經濟新報 http://www.tej.com.tw
2.行政院監理管理委員會 http://www.fsc.gov.tw/Layout/main_ch/index.aspx?frame=1
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