內部流動性對結構型模型績效之影響

The effect of internal liquidity on performance of structural models

鄭慧琳(Hui-Lin Cheng)

指導教授 ： 林煜宗 ； 廖咸興

國立臺灣大學/管理學院/財務金融學研究所/碩士(2006年)

https://doi.org/10.6342/NTU.2006.10018

摘要

在信用風險領域裡，學者試圖找出更多可以改善結構型信用模型績效的因子。因此，有別於其他的結構型模型實證文獻，本文的重點在於探討公司內部流動性對於結構型模型在債券價格評價誤差上的影響。由實證結果發現，內部流動性的確對於部分結構性模型的評價績效有益。

關鍵字

信用風險 ； 結構型模型

並列摘要

Researchers have been trying to introduce more relevant credit risk elements to improve the performance of structural models. Distinguished from other literature, we focus on the explaining power of a firm’s internal liquidity on the prediction errors of structural models. Our results show that the cash flow volatility do have a significant explaining power for the prediction errors of some structure credit models.

並列關鍵字

credit risk ； structural models

參考文獻

Collin-Dufresne, P., and R. Goldstein, 2001,“Do Credit Spreads Reflect

Eom, Y. H., J. Helwege, and J.-Z. Huang, 2004, “Structural Models of

Corporate Bond Pricing: An Empirical Analysis,” The Review of

Financial Studies, Vol.17, No.2, 499-544

Analysis of Corporate Capital Structure: An Empirical Investigation,”