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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31617

    Title: 台灣上市櫃公司財務危機之預測 : 障礙選擇權評價法與Z-score模型
    Other Titles: Prediction of financial distress of Taiwan's publicly listed companies : barrier option pricing model and Z-score model
    臺灣上市櫃公司財務危機之預測 : 障礙選擇權評價法與Z-score模型
    Authors: 蕭芳茗;Hsiao, Fang-ming
    Contributors: 淡江大學財務金融學系碩士班
    林允永;Lin, Yun-yung
    Keywords: 障礙選擇權;信用風險;預期違約機率;Z-Score;Barrier Option;Credit Risk;Expected Default Frequency;Z-Score
    Date: 2006
    Issue Date: 2010-01-11 01:03:19 (UTC+8)
    Abstract: 本文以障礙選擇權模型為基礎來衡量2000到2005年台灣上市櫃公司(去除銀行、保險等金融業)的信用風險,利用預期違約機率(EDF)來預測違約公司,並且對模型本身設計做進一步探討,針對不同的負債設定(總負債、短期負債加二分之一長期負債、短期負債),以及不同產業型態分析模型的效率。為了表現出此模型在台灣的適用程度,本文利用Altman (1968)的Z-score模型與之比較,並使用檢定力曲線以及Logit二元迴歸分別檢定各種情形。

    This study evaluates credit risk of all Taiwan’s listed Companies from 2000 to 2005 by the barrier option model. We use the Expected Default Frequency (EDF) to predict the Default Companies. Furthermore, we analyze the efficiency of the model to different settlement in debt and different industry types. In order to know the default prediction power in Taiwan, we compare Z-score model with the barrier option model by applying logistic regression and power curves.

    We provide empirical validation by showing that implied barriers are statistically and on average equal to 22% of the firm’s market value of assets. No matter under every industry or the debt, barrier option model dominate Z-score model. And, we find that Z-Score model is not suitable for the chemical industry. In particular, the parameter X4- market value of equity/book value of total liabilities ratio are more disputed. When the debt of barrier option model is established that current liabilities added 1/2 long-term debt to for a short time in debt model, it''s forecasting abilities is the best.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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