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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/58733


    Title: 國外金融機構違約預警模型--Merton模型之應用
    The Default Predicted Model of Foreign Financial Institutions--An Application of Merton Model
    Authors: 郭名峻
    Contributors: 蔡政憲
    郭名峻
    Keywords: 信用風險衡量模型
    違約事件
    Merton模型
    預期違約機率
    財務變數
    Logistic迴歸
    Date: 2012
    Issue Date: 2013-07-01 17:59:04 (UTC+8)
    Abstract: 有鑑於信用風險衡量模型之廣泛使用,以及預測金融機構違約事件之重要性,本研究欲建立能有效預測金融機構違約事件之模型。其中Merton模型之概念被廣泛的應用,包含著名之KMV公司亦以Merton模型之概念建立信用風險管理機制,因此本研究選擇Merton模型之產出-預期違約機率(Expected Default Frequency, EDF)作為預測違約事件之主要變數。
    本研究以國外56家金融機構,於2007至2009年共140筆樣本資料,資料內容包含股價以及財務變數。實證方法為先以各公司之股價資訊透過Merton模型計算各樣本之預期違約機率,作為Logistic迴歸模型之自變數進行分析。之後另外加入財務變數嘗試增進模型之解釋能力。此外,本研究亦修正模型之設定以檢視在更貼近真實世界的假設下,模型之預測能力是否有提升。本研究之實證結果發現,單以預期違約機率所建立之違約預測模型即有良好之預測能力,即使再加入其他變數並進行假設的修正,對於模型預測效果提升並不顯著。因此本研究肯定Merton模型以公司之股價資訊衡量違約風險之概念。
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    7.Black, F., and Scholes, M., 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, 637-659.
    8.Coats, P. K., and Fant, L. F., 1993, Recognizing Financial Distress Using a Neural
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    12.Gentry, J. A., Newbold, P. and Whitford, D. T., 1985. Classifying Bankrupt Firms with Funds Flow Components, The Journal of Accounting Research , 23, 146-160.
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    100358019
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100358019
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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