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標題: 企業違約預測模型效力驗證方法
Validation Methodologies for Corporation Default Prediction Model
作者: Tsai, Ming-Chi
關鍵字: Black Scholes Merton、Private Firm Model、TCRI、validation、default distance;Black Scholes Merton;Private Firm Model;TCRI;效力驗證;違約距離值
出版社: 財務金融學系
本研究以Black Scholes Merton、Private Firm Model和TCRI等三種風險模型來進行效力驗證過程的介紹。一個有效的信用風險模型是能幫助金融機構提前避開有問題的企業,使金融機構的呆帳損失下降,而模型的好壞是必須經過一連串的檢驗與測試才能確保其穩定性與有效性。本研究中所介紹的驗證過程可分為「正確性分析」、「等級區隔同質性分析」和「穩定度分析」等三方面。以台灣上市公司資料帶入Black Scholes Merton、Private Firm Model二種風險模型中估計出違約距離值來以及直接採用外部評等TCRI的等級。然後在以本研究所提之驗證方法過程進行三種風險模型的效力驗證。而在之前有關效力驗證的文獻中只單純以「正確性分析」為準,而在本研究中則是另外再加入了「等級區隔同質性分析」和「穩定度分析」。

In this article we introduce validation methodologies and use these methodologies to validate Black Scholes Merton、Private Firm Model and TCRI. A quality credit risk model will help financial institution to avoid problematic enterprises ahead of time, reduce bad debt of financial institution, and quality of model must be validated and tested continuously to ensure it stable and efficient. This article introduces three aspects about validation including「The power test」、「The discrimination test」and「The stability test」. The financial data of listed company in Taiwan are brought into Black Scholes Merton and Private Firm Model to estimate default distance and then we directly use the grade of TCRI. Then three kinds of risk models will be validated with validation methodologies which this article introduces. Some literatures about validation only introduced「The power test」but this article will add 「The discrimination test」and 「The stability test」.
Appears in Collections:財務金融學系所

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