台灣上市櫃公司財務危機之預測－障礙選擇權評價法與Z-score模型

Prediction of Financial Distress of Taiwan’s Publicly Listed Companies - Barrier Option Pricing Model and Z-score Model

蕭芳茗(Fang-Ming Hsiao)

指導教授 ： 林允永

共同指導教授 ： 邱忠榮(Jong-Rong Chiou)

淡江大學/商學院/財務金融學系碩士班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00750

摘要

本文以障礙選擇權模型為基礎來衡量2000到2005年台灣上市櫃公司(去除銀行、保險等金融業)的信用風險，利用預期違約機率(EDF)來預測違約公司，並且對模型本身設計做進一步探討，針對不同的負債設定(總負債、短期負債加二分之一長期負債、短期負債)，以及不同產業型態分析模型的效率。為了表現出此模型在台灣的適用程度，本文利用Altman (1968)的Z-score模型與之比較，並使用檢定力曲線以及Logit二元迴歸分別檢定各種情形。

研究發現障礙在統計上顯著存在，大約占資產市價22%，且不論在各產業或各負債設定下，障礙選擇權模型皆優於Z-Score模型，其中發現Z-Score模型並不適用於化學產業，在Z-Score模型中的變數X4－權益市值�負債帳面價值，其資料更具爭議，而障礙選擇權模型在負債設定為短期負債加上二分之一長期負債時，其預測能力最佳。

關鍵字

障礙選擇權 ； 信用風險 ； 預期違約機率 ； Z-Score

並列摘要

This study evaluates credit risk of all Taiwan’s listed Companies from 2000 to 2005 by the barrier option model. We use the Expected Default Frequency (EDF) to predict the Default Companies. Furthermore, we analyze the efficiency of the model to different settlement in debt and different industry types. In order to know the default prediction power in Taiwan, we compare Z-score model with the barrier option model by applying logistic regression and power curves.

We provide empirical validation by showing that implied barriers are statistically and on average equal to 22% of the firm’s market value of assets. No matter under every industry or the debt, barrier option model dominate Z-score model. And, we find that Z-Score model is not suitable for the chemical industry. In particular, the parameter X4- market value of equity/book value of total liabilities ratio are more disputed. When the debt of barrier option model is established that current liabilities added 1/2 long-term debt to for a short time in debt model, it's forecasting abilities is the best.

並列關鍵字

Barrier Option ； Credit Risk ； Expected Default Frequency ； Z-Score

參考文獻

5.陳業寧、王衍智、許鴻英 (2004)，「台灣企業財務危機之預測：信用評分法與選擇權評價法孰優？」，風險管理學報，第6卷第2期，頁155~179。

7.Altman, E.I, (1968), Financial Ration, Discriminant Analysis and the Prediction of Corporate Bankruptcy, The Journal of Finance, Vol. 23,pp. 589-609

8.Altman, E.I., R. Haldeman and P. Narayanan, (1977), ZETA analysis: A new model to identity bankruptcy risk of corporations, Journal of Banking & Finance, pp. 64-75.

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10.Black, F. and M. Scholes, (1973), The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, 3, pp. 637-654.