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|Other Titles: ||Research on the adequacy of S&P corporate criteria's application in Taiwan credit market|
|Authors: ||鄒佳蓉;Tsou, Chia-Jung|
|Keywords: ||風險架構評估;信用風險;違約;Risk Factor Assessment;Credit risk;Probability of Default|
|Issue Date: ||2015-05-04 09:42:47 (UTC+8)|
The credit rating scales and rating factors are wildly applied in the assessing the default probabilities of counterparties by the various participants in capital market, including investors, debtors and the supervisors from the government. The credit rating corporations plays a critical role in providing these relevant information. They not only heavily rely on the financial information disclosed in financial reports to assess the financial risk, but also incorporate the assessment on business operation. Post the financial crisis in 2008, people begin to questions the effectiveness of the rating methology. This research is thus made on back of revised criteria of Standard and Poor''s "Corporate Methodology" in 2013 to assess the corporate risk profile in Taiwan market. In the research, we plan to verify the effectiveness of the key risk factors, including business operation and financial profile, in predicting the default probabilities in Taiwan market. We use both listed corporations and unlisted but public offering corporations operating in the period of 1977-2012, totaling 2,180 firms, as the sample for this research. The conclusions of the research are as following:
1. S&P’s new corporate criteria has greater transparency with more objective consideration on the ratings factors, especially for the financial risk assessment.
2. Global consistency of this criteria is also significantly improved while the former criteria was criticized by being more favorable to developed countries, such as Europe countries or US.
3. The scoring factors on Financial risk assessment in this criteria has satisfacrory correlation with the default probability.
4. The assessment on Business risk profilt, in addition to the quatitative factors, needs to go with the qualitative expert judgement in order to achieve a better projection on the default probability.
|Appears in Collections:||[財務金融學系暨研究所] 學位論文|
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