隨著全球金融市場的變遷與巴塞爾協定的實施，信用風險的問題日漸受重視，衡量信用風險的模型亦不斷推陳出新，而在眾多衡量信用風險的模型中，信用評分法及選擇權評價法被廣泛地運用，本研究旨在比較此兩種信用風險衡量模式在預測台灣上市、櫃電子公司之財務危機上何者較為準確，其中以Altman（1968）所提出的Z-Score作為信用評分法的代表；而選擇權評價模式則以KMV模型（選擇權訂價模型）為代表。實證的對象為2000年至2005年台灣上市上櫃電子公司。 在模型比較上採用Logistic迴歸分析以及檢定力曲線做比較。經由實證結果發現，二種比較方法均顯示選擇權評價法在預測公司財務危機上優於信用評分法。 With the flourishing development of the financial market, and the Basel Agreement is dispensed, the measurement and management of the credit risk becomes more and more important. There are many approachs to measure the credit risk, credit scoring model and option pricing model are used extensively. This paper compares two major credit risk model: “Altman’s Z-Score (credit scoring) and KMV model (option pricing model).” Using the data of Taiwan’s listed companies from 2000 to 2005, and we adopt two major comparative laws: logistic regression and power curve to test these two models. The empirical results of two kinds of comparative methods all get the similiar conclusion that option pricing model is better than Z-Score.
