本研究用傳統選擇權(Merton)模式與下出局式買權(DOC)模式,以台灣地區的上市以及上櫃公司1999至2003年資料,求算2000年至2004年公司發生預期違約機率(EDF)的大小,並以Logit迴歸模型及檢定力曲線進行不同指標對財務危機預測效率的比較。實證結果證明在以DOC算出來的預期違約機率值都高於Merton模式所算出來的預期違約機率值,這是考慮到權益為路徑相依的特性,即違約不僅是視到期日是否發生的結果。此外,由Logit迴歸模式與檢定力曲線結果得知,在違約點為流動負債加上二分之一長期負債情況下,DOC模式都較Merton模式的危機預測效率為好。 This paper uses the data of Taiwan’s listed companies form 1999 to 2003 to estimate the probabilities of default based on Merton (1974) and Down-and-Out Call (DOC) frameworks. We also apply the logit regression and power curve to investigate which measure contains more information about corporate financial distress.The empirical results show that DOC approach has higher probabilities than Merton’s model. This is because DOC which considers corporate securities are path-dependent, default depends not only at the maturity but also on the particular path followed by the underlying asset. Besides, according to the results of logit regression and power curves, DOC outperforms Merton when the default point denotes the sum of total short-term liabilities plus half of long-term liabilities significantly.