衡量以Merton模型預測公司是否違約之精確度

Assessing the Accuracy of Default Prediction with Merton Model

張 秦(Chin Jang)

指導教授 ： 陳業寧

國立臺灣大學/管理學院/財務金融學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.01674

摘要

本文探討根據Black及Scholes(1973)與Merton(1974)理論建立的模型，其對於台灣上市上櫃公司違約之預測能力。並將其與保留其函數型式而變數估計方法較簡單的模型、函數型式相對簡單之市場模型、以及由Altman(1968)與李哲惠(2002)延伸之會計模型的預測能力進行比較。我們使用hazard模型進行相關檢測，結果顯示在考慮相關的市場變數之後，Merton模型複雜的函數型式以及其估計資產市值相關變數的作法，對於預測公司是否違約並無幫助。且不同於之前研究，Merton模型與若干市場模型對於公司是否違約之預測能力，並不劣於由Altman(1968)或李哲惠(2002)延伸之會計模型。

我們的樣本橫跨民國七十九年至九十八年，共採計1,689家國內曾經上市上櫃公司、及10,390筆公司之年資料。並把全樣本依時間先後分成兩個子樣本，發現主要的結果在兩個樣本皆成立。我們並測試市場模型與會計模型在兩個子樣本之間的表現，發現隨著時間經過，市場模型與會計模型對於預測公司違約之精確程度，皆有小幅度的提升，且市場模型預測精確度之增進幅度較會計模型略高。

關鍵字

信用風險 ； Merton模型 ； 存活分析

並列摘要

We examine the accuracy of the Merton model, which is based on the theory proposed by Black and Scholes (1973) and Merton (1974). We compare the model with a simple alternative, which uses the same functional form with the Merton model but does not solve the model for an implied probability of default. We also compare the Merton style models with the model with the similar input but without the complex functional form and with the accounting models proposed by Altman (1968) and Lee (2002). We find that after considering the relevant market variables, the complex functional form of the Merton model and the numerical solution of the model do not contribute to the accuracy of default prediction. While contrary to the previous empirical result, the accuracy of the Merton model and other market models is definitely not inferior to the accuracy of either the accounting models.
Our sample contains all Taiwan listed firms except for ones belong to the banking and finance industry. The time horizon is from 1990 to 2009. The full sample contains 1,689 Taiwan listed firms with 10,390 firm-year data. We divide the full sample into two subsamples according to the time. The main results hold in each subsample. We also conclude that the accuracy of both the accounting models and the market models improve as the time goes by.

並列關鍵字

Credit Risk ； Merton Model ； Survival Analysis

參考文獻

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