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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35754


    Title: 信用違約機率之預測-Binary Regression Quantiles的應用
    Authors: 忻維毅
    Contributors: 沈中華
    忻維毅
    Keywords: 違約機率
    分量迴歸
    二元分量迴歸
    羅吉斯模型
    信用風險模型效力驗證
    Date: 2005
    Issue Date: 2009-09-18 15:56:18 (UTC+8)
    Abstract: 本研究預測違約機率的方法為:Binary Regression Quantiles(二元分量迴歸),此理論基礎與預測方式是使用美國學者Grigorios Kordas(2004)的方法,將分量迴歸運用在應變數為二元的屬質變數上之計量方法。
    最小平方法是目前最常見到的迴歸分析,但在古典線性迴歸模型中,應變數的解釋是來自於自變數的相對應的平均變化,而忽略了不同規模與分配下應變數的邊際變化,本文試圖以此方法和以最大概似估計法所建構出的Logit模型做一比較,而研究資料為台灣於民國85年至93年曾被列為全額交割類股的上市公司。
    本研究發現Kordas (2004)的方法,雖然能將分量迴歸應用在屬質二元變數上,但是在預測方面相較於傳統Logit方法卻沒有出現較佳的預測能力。
    The method implemented in PD calculation in this study is “Binary Regression Quantiles”. The foundation of the research and the way to forecast is according to the Ph.D Thesis of Grigorios Kordas(2004). He apply the binary variable for Quantile Regression.
    The Ordinary Least Square is the most common way to regression analysis, but in the classic linear regression the change of dependent variable comes from the independent variable averagely. It neglects the marginal change of the dependent variable according to different scale and distribution. We want to compare the Binary Regression Quantiles with the Logit Regression.
    Although we could apply the binary variable for Quantile Regression successfully, the outcome of the forecast is not as efficient as the Logit Regression.
    Reference: 一.中文部分
    1.沈中華、林公韻 (2005),「違約機率預測與極端值」,財務金融學刊,Journal of Financial Studies Vol.13 No.3 December 2005.
    2.林公韻(2005),「信用違約機率之預測-Robust Logistic Regression.」,政治大學金融研究所碩士論文。
    3.胡美蓉(2005),「銀行對中小企業授信評等模型」、政治大學經濟研究所碩士論文。
    4.沈中華,金融市場-全球的觀點,新陸書局股份有限公司。
    5.陳錦村,風險管理概要個案與實務,新陸書局股份有限公司。
    6.何太山(1977),「運用區別分析建立商業放款信用評分制度」,政治大學企業管理研究所未碩士論文。
    7.陳肇榮(1983),「運用財務比率預測企業財務危機之實證研究」,政治大學企業管理研所博士論文。
    8.陳明賢(1985),「財務危機預測之計量分析研究」,台灣大學商學研究所碩士論文。
    9.黃小玉(1988),「銀行放款信用評估模式之研究-最佳模式之選擇」,淡江大學管理科學研究所碩士論文。
    10.饒多年(2002),「從選擇權觀點探討我國上櫃公司違約距離與違約風險」,交通大學經營管理研究所碩士論文。
    11.王懷德(2002),「KMV模型於國內未上市、未上櫃之公開發行公司之研究」,東吳大學會計研究所碩士論文。
    12.林妙宜(2001),「信用風險之衡量」,國立政治大學金融學系研究所碩士論文 。
    13.江欣怡(2003),「企業危機預警模型在台灣的應用與比較」,東吳大學國際貿易學系研究所碩士論文。
    14.曾素娟(1999),「考慮經濟景氣變動之企業失敗預警模式-台灣上市公司之研究」,國立成功大學企業管理學系研究所碩士論文。
    15.林宓穎(2001),「上市公司財務危機預警模式之研究」,國立政治大學財政學系研究所碩士論文。
    16.歐再添(2002),「企業財務危機預測-以產業別建構Logistic預警模型」,國立台灣科技大學企業管理系研究所碩士論文。
    二.英文部分
    1.Altman, E. I. (1968), Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy, Journal of Finance 23, 589-609
    2.Altman, E.I., R. Haldeman & P. Narayanan,(1977), “ZETA analysis: A New Model to Identity Bankruptcy Risk of Corporations,” Journal of
    Banking & Finance, pp.64-75.
    3. Black, F. and M. Scholes. (1973), The Pricing of Options and Corporate
    Liabilities, Journal of Political Economy, May-Jun, 637-654.
    4. Deakin, E. B.(1972), A Discriminant Analysis of Predictors of Business
    Failure, Journal of Accounting Research 10, 167-179.
    5. Grigorios Kordas(2004), Binary Regression Quantiles, Ph.D Thesis, University of Illinois at Urbana-Champaign.
    6. Grigorios Kordas(2002),Credit Scoring Using Binary Quantile Regression, Working Paper, University of Illinois at Urbana-Champaign.
    7. Koenker,R.,and Bassett,G.B.,(1979),Regression Quantiles,
    Econometrica, 46,33-55.
    8. Koenker and Kevin F.Hallock(2001), Quantile Regression, Journal of Economic Perspectives-Volume15,Number4,Pages 143-156.
    9. Kaplan, R. S. and G. Urwitz (1979), Statistical Models of Bond Ratings: A Methodological Inquiry, Journal of Business, Vol. 52, Iss. 2; 231-262
    10. Levine, Ross and Zervos, Sara (1998), Stock markets, Banks, and Growth, American Economic Review, Vol.88(3), 537-558.
    11. Manski,C.F.,(1975),Maximum Score Estimation of the Stochastic Utility Model of Choice, Journal of Econometrics,3,205-228.
    12. Manski,C.F.,(1985),Semiparametric Analysis of Discrete Response: Asymptotic Properties of the Maximum Score Estimator, Journal of Econometrics,32,65-108.
    13. Merton, R.C. (1974), On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, June, 449-470
    14. Ohlson, J.A.,(1980),“Financial Ratios and the Probability Prediction of Bankruptcy,” Journal of Accounting Research, 18(1),
    pp.109-131.
    15. Pogue, T. and R. Soldofsky (1969) "What`s in a Bond Rating", The Journal of Financial and Quantitative Analysis, 4 (2), pp. 201-228.
    Description: 碩士
    國立政治大學
    經濟研究所
    93258002
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093258002
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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