Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23718
標題: The Valuation and Comparison of Default Probability in the Taiwan Market-Use Multi-Period Structural and Reduced-Form Credit Risk Model
台灣公司違約機率之評估與比較-使用多期結構式與縮減式信用風險模型
作者: 蔡濰年
Tsai, Wei-Nian
關鍵字: default probability;違約機率;credit rating;structural model;reduced-form model;信用評等;結構式模型;縮減式模型
出版社: 財務金融系所
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摘要: 
Regarding to the global financial market blooming, derivative market starts getting multi-diversified. Since 2002, derivative products were able to trade in Taiwan; financial institutional investors could reduce the credit risk via the derivatives products in order to achieve the goal of risk management. Default risk is the risk that counter-party、taker or bond issuer have the probability to default, it becomes to the key element in the valuation and this study is focus on how to evaluate the probability of default .
The main goal of this study is to use different credit risk models to estimate the default probabilities of the Taiwan TSEC-listed companies. We use the structural and reduced-form model to do the valuation and comparison of the default probabilities of the Taiwan TSEC-listed companies that issued corporate bond and had the same rating of the Taiwan Ratings. We also estimate the default probabilities of companies which have different ratings that are provided from the Taiwan Ratings. It is found that the function of default probability from both model is an increasing convex function. Besides, empirical results are consistent with the ratings of the Taiwan Ratings. Consequently, the company has the higher rating will have the lower default probability.

隨著金融市場的蓬勃發展,衍生性商品愈趨多元化,在2002年底本國開放信用衍生性商品交易後,金融機構可以透過信用衍生性商品來分散信用風險,以達到風險控管的目標。所謂信用風險指的是交易對手、借款人或債券發行人具有違約「可能性」所產生的風險,即為本研究中所評估之違約機率。
而本研究主要利用不同的信用風險模型來推估台灣上市公司的違約機率,分別使用結構式模型(Structural Model),以及縮減式模型(Reduced-Form Model),針對台灣有發行普通公司債的上市櫃公司且同時具有相同信用評等的公司,進行違約機率的估計與比較。同時,也根據中華信用評等所提供的等級資料,再次進行不同信用評等公司違約機率的估計與比較。其實證結果發現,使用兩信用風險模型所推估出來的累積違約機率與時間函數,皆呈現遞增的凸函數。此外,本研究實證之結果與中華信用評等相符合,具有較高中華信用評等的公司,將會具有較低的違約機率。
URI: http://hdl.handle.net/11455/23718
其他識別: U0005-2107201016594700
Appears in Collections:財務金融學系所

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