臺灣博碩士論文加值系統

本研究想比較structural model裡的LT模型與Leland在2002年所修正的KMV模型的績效表現。希望藉由引入Barrier 選擇權的評價模型衡量違約機率，並比較LT模型與KMV模型何者的績效表現較佳。研究發現，在投資等級和C等級，LT模型的預測能力較KMV模型佳。而在投機等級方面，兩模型的預測績效都不佳。本研究亦利用比較靜態分析以檢視違約機率和參數之間的關係。最後，本研究建議引入動態default barrier，及放寬固定default barrier之假設，以符合實際發生之狀況。

In this paper we intend to compare the default prediction performance of two alternative structural models, Leland & Toft (1996) model and KMV model which is modified by Leland (2002). The purposes are to measure the probability of default (PD) of obligors by using barrier option pricing formula and then to distinguish which model will have better predictability. We can see that the LT model’s performance of prediction is better than KMV model in investment and C grade. In speculative grade, the both models have a poor performance. We also do comparative static to see the relationship between probability of default and parameters. Finally, we suggest to introduce dynamic default barrier to suit for real world.

Abstract…………………………………………………………………0
1. Introduction…………………………………………………………1
2. Data and Methodology………………………………………………4
2.1 Data description…………………………………………………4
2.2 The LT Model……………………………………………………5
2.3 The KMV Model…………………………………………………7
3. Empirical result………………………………………………………12
4. Conclusion……………………………………………………………17
References………………………………………………………………19

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