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研究生:陳琳
研究生(外文):Tran Lam
論文名稱:應用現金流財務模型分析越南營造公司信用評等之研究
論文名稱(外文):Application of Cash Flow Based Structural Model in Assessing Vietnamese Construction Contractor Financial Prequalification
指導教授:曾惠斌曾惠斌引用關係
指導教授(外文):Hui-Ping Tserng
口試委員:郭斯傑陳柏翰
口試委員(外文):Sy-Jye GuoPo-Han Chen
口試日期:2015-06-27
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:土木工程學研究所
學門:工程學門
學類:土木工程學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:英文
論文頁數:62
中文關鍵詞:現金流財務模型
外文關鍵詞:construction industrycontractor prequalificationcredit riskcash flow based structural model with dynamic thresholdROC curve
相關次數:
  • 被引用被引用:0
  • 點閱點閱:81
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  • 收藏至我的研究室書目清單書目收藏:1
ABSTRACT
Prequalifying contractors is an important task of project owner to screen out the contractor’s capabilities. In general, a predetermined set of criteria including contractors’ financial standing, technical ability, management capability, health and safety, and reputation is often screened out through the contractor prequalification process.
This study attempts to employ an approach using the cash flow model proposed by Liao, Chen and Su (2007) to assess the Vietnamese contractor’s financial standing in prequalification. The main reason leading to the most of construction company failure is not inadequate management of other sources, but because of lacking sufficient cash flow to support daily expenditure. Therefore, it is important to have an appropriate evaluation of contractors’ financial aspect in prequalification process. The cash flow based structural model with dynamic threshold can simulate and list the credit quality score of each construction contractor from the cash flow of firm. Thus, the financial qualified contractors can be differentiated from those who are disqualified.
The study employs the Area Under Curve (AUC) to evaluate the discriminatory performance of the model in rating the contractor credit in two years and use the credit rating performed by a Vietnamese bank as the benchmarks. The empirical results figure out that the cash flow based structural model with dynamic threshold is with excellent discriminatory power: AUC = 0.8333 in first year; AUC = 0.8095 in second year. These indicate that this model can be applied to assess the credit risk of construction contractor. Moreover, since this model only requires the information of accounting statement, it is applicable in both listed and private construction contractors.


ABSTRACT II
TABLE OF CONTENTS IV
LIST OF FIGURES VI
LIST OF TABLES VII
Chapter 1 : Introduction 1
1.1 Background 1
1.2 Motivations and Problem Statements 1
1.2.1 Contractor Prequalification in Vietnam 2
1.2.2 The Unique Financial Risk in Construction Industry 2
1.3 Purposes and Potential Application 3
1.4 Procedure of the Research 4
1.5 Framework of the Thesis 4
Chapter 2 : Literature Review 6
2.1 Contractor Prequalification in Vietnam 6
2.2 Credit Risk Models 7
2.3 Free Cash Flow to Firm 8
2.4 Cash Flow Based Structural Model with Dynamic Threshold 9
2.5 Summary 10
Chapter 3 : Methodology 12
3.1 Framework of Research Methodology 12
3.2 The Cash Flow Based Structural Model with Dynamic Threshold 15
3.2.1 A Firm’s State Dependent Free Cash Flow Based Credit Model 15
3.2.2 Estimation of a Firm’s Weighted Average Cost of Capital 17
3.2.3 Default Threshold with Stationary Leverage Ratio 18
3.3 Model Result Verifying 20
3.4 Model Evaluation Approach using ROC curve 21
3.5 Summary 23
Chapter 4 : Empirical Application 24
4.1 Data and Collection 24
4.2 The Selection of Cash Flow Proxy 27
4.3 Factor Analysis and Parameter Estimations of the State Factor Process 27
4.4 Parameters Estimations of the Present Value Model 28
4.4.1 Estimation of a Firm’s Weighted Average Cost of Capital 28
4.4.2 Estimation of Constant Growth Rate 30
4.4.3 Estimation of the Shift Term to a Firm’s Cash Flow Paths 31
4.5 Dynamic Default Threshold with Stationary Leverage Ratio 32
4.6 Credit Quality Score and Model Result Checking 35
4.7 Limitations 39
4.8 Summary 40
Chapter 5 : Conclusion 41
References 42
Appendixes 1
Appendix I: Vietnamese Bank Credit Rating 1
Appendix II: Factor Analysis of Firm’s Free Cash Flows 10
Appendix III: Maximum Likelihood Algorithm for Factor Generating Formula 14
Appendix IV: Estimation of the Shift Term to a Firm’s Cash Flow Paths 16
Appendix V: Estimation of the Long-term Average Leverage Ratio 18


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