研究發現障礙在統計上顯著存在，大約占資產市價22%，且不論在各產業或各負債設定下，障礙選擇權模型皆優於Z-Score模型，其中發現Z-Score模型並不適用於化學產業，在Z-Score模型中的變數X4－權益市值／負債帳面價值，其資料更具爭議，而障礙選擇權模型在負債設定為短期負債加上二分之一長期負債時，其預測能力最佳。 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.
