- 學位論文
運用動態違約門檻之結構型現金流量基礎模型於營建廠商之財務信用分析
Contractor Financial Prequalification - Cash Flow Based Structural Model Associated with Dynamic Threshold
摘要
對業主而言，為確保投標廠商的能力達到招標工程的需求，從資格預審中篩選出適當的投標廠商是一件很重要的事。資格預審的目的是為了降低工程失敗的風險，在招標開始之前，根據招標工程本身的需求預先制訂審查的標準，要求投標廠商提供有關資質證明的文件，對投標廠商進行資格審查，即資格預審，然後篩選出經認定合格的投標廠商才能參加投標。資格預審的審查標準一般包含：財務狀況、技術、管理能力、安衛環、以及名譽。 本研究採用一創新方法，引用Liao, Chen and SU(2007)所發展的動態違約門檻下之結構型現金流量基礎模型於營建產業之資格預審，藉由此模型去評估營建廠商的公司財務狀況，進而達到財務資格預審之目的。對營建業而言，公司的財務狀況與其是否有足夠的現金流來償還債務是高度相關的，即反映公司的信用風險程度。如果營建公司無法如期履行其債務，那麼該公司可能會面臨債務拖欠或是破產的危機，這將導致其興建中的工程延遲或是失敗。因此，在資格預審中評估營建公司的財務狀況是一個很重要的議題。透過營建公司的歷年現金流，本研究應用之結構型現金流量基礎模型可模擬出該公司的信用風險分數，業主可透過此信用風險分數得知該公司的財務狀況，亦可判別出財務資格合格以及不合格的廠商。 本模型模擬出營建公司未來三年的信用風險分數後，與標準普爾(Standard and Poor)對各營建公司所做的信用評等等級做比較。然後再利用ROC曲線來衝量本模型各年判別信用風險高低的排列能力，以判斷本模型於營建產業信用風險評估之適用性。研究結果顯示，本模型在判別未來三年信用風險的能力為優等級，第一年AUC = 0.8611; 第二年AUC = 0.8333 以及第三年AUC = 0.8194。由此可知，動態違約門檻下結構型現金流量基礎模型適用於評估營建產業的信用風險。此外，此模型僅需會計報表中的現金流量資訊，適用於上市以及非上市之營建公司，更能廣泛地應用於營建產業之信用風險評量上。
並列摘要
It is very important for project owner to screen out incapable contractors in the process of investigating and qualifying contractors to ensure that the contractors’ capabilities conform to the requirements of the project. Contractor prequalification involves a screening procedure based upon a predetermined set of criteria necessary for completing the project successfully. The criteria generally include: financial standing, technical ability, management capability, health and safety, and reputation. This study employs an innovative approach by using the cash flow based structural model with dynamic threshold by Liao, Chen and Su (2007) to assess the contractor’s financial standing in the prequalification stage. The financial condition of a construction company is highly related to whether it can generate sufficient cash flow to service its debt, i.e. the degree of credit risk. If a construction company is unable to fulfill its debt, it will be delinquency or even bankrupt. This will cause a delay or failure on performing its construction project. Therefore, the evaluation of contractor financial standing is a crucial issue in contractor prequalification. The cash flow based structural model with dynamic threshold can simulate and produce the credit quality score of each construction contractor from the historical cash flow of a firm. Through this credit quality score, owner can learn the financial condition of each construction contractor and thus can differentiate financial qualified and financial disqualified contractor. This study employs the Area Under Curve (AUC) to evaluate the discriminatory performance of the model in ranking the credit quality of construction contractor in three years and uses S&P issuer credit ratings as the benchmarks. The empirical results show that the cash flow based structural model with dynamic threshold performs an excellent discriminatory power: AUC = 0.8611 in the first year; AUC = 0.8333 in the second year and AUC = 0.8194 in the third year. These results indicate that this model is useful in assessing the credit risk of construction contractor. Since this model only requires the information of accounting statements, it is applicable in both listed and private construction contractors.
參考文獻
延伸閱讀
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