Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23799
標題: 具脆弱相關之違約模型 - 台灣上市櫃公司之應用
Default Model with Frailty : An Application to Public Firm on Taiwan Stock Market
作者: 黃皇銘
Huang, Huang-Mine
關鍵字: 脆弱因子;frailty;馬可夫鏈蒙地卡羅;違約強度;縮減式模型;MCMC;default intensity;reduced-form model
出版社: 財務金融系所
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摘要: 
本文首先介紹財務預警模型的主要類型, 其中包括評分模型、 結構式模型以及縮減式
模型, 接著是過去文獻對於違約相關性的探討。 最後根據 Duffie et al. (2009) 所建構之
脆弱相關違約強度模型, 對台灣上市櫃公司進行預測其違約機率。 該模型利用了馬可夫鏈
蒙地卡羅法產生脆弱因子, 其目的為有效捕捉公司間連續大規模違約情形, 即違約叢聚現
象, 以便能夠更精確預測出違約機率, 並且對該模型進行是否在台灣上市櫃公司有效之檢
定。 最後本研究的實證結果顯示, 脆弱相關違約強度模型並無法有效捕捉台灣上市櫃公司
之違約叢聚情形。

This paper first introduces the main types of financial warning models, includ-
ing Credit Scoring Models, Structural models and Reduced form models, and the
literature of default correlation. Finally, according to Duffie et al. (2009) we used
frailty-intensity model to predict the default probability of public companies in Tai-
wan. The model uses a Markov chain Monte Carlo method to generate frailty aiming
to capture the default clustering so that we are able to predict the probability of
default more precisely. And we make a test on if this model is applicable to the
publicly-traded firms in Taiwan later. At last, the empirical results of this study
show that frailty-intensity model cannot effectively predict public companies for
default clustering situation.
URI: http://hdl.handle.net/11455/23799
其他識別: U0005-1807201219205400
Appears in Collections:財務金融學系所

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