流動性餘額基礎之多期企業短期信用風險模型－台灣市場之應用

在信用風險文獻中，鮮少有從公司內部流動性觀點來探討企業發生流動性危機的信用風險模型。本研究利用單位資產化的公司內部流動性餘額來作為企業流動性風險的衡量指標，並依此指標的隨機特性，建構出以「狀態相依流動性餘額隨機模型」為基礎的多期企業短期信用風險模型。而經由此模型所模擬出未來各期流動性餘額的分配，可以內生地推估出未來各期發生流動性危機的機率以及預期流動性不足率。此外，本研究模型也可以引伸應用於以短期信用為主的金融產品，如「資產基礎商業本票」（ABCP）之訂價。而本研究模型應用於台灣市場的實證結果亦初步展示了模型的有效性。

關鍵字

流動性餘額；內部流動性；短期信用風險模型；流動性危機；狀態相依

並列摘要

Among credit model literature, few of them explore a firm’s liquidity crunch crises from internal liquidity perspective. This study employs a firm's liquidity balance (per unit asset) to measure its internal liquidity risk. This work assumes that the liquidity balance variation follows a state-dependent Gaussian process. Hence, this liquidity balance stochastic model can generate a firm's multi-period liquidity balance distributions and then can endogenously and concurrently estimate the firm's multi-period probability of liquidity crunch and the expected liquidity deficiency. In addition, this liquidity balance-based credit model can be used in the pricing of short-term credit portfolios such as asset-backed commercial paper (ABCP). The empirical results in Taiwan market preliminarily support the model's effectiveness.

並列關鍵字

Liquidity Balance ； Internal Liquidity ； Short-term Credit Risk Model ； Liquidity Crunch Crisis ； State-dependent

參考文獻

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流動性餘額基礎之多期企業短期信用風險模型－台灣市場之應用

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