以障礙選擇權模型研究IFRS前後門檻的變動—以台灣為例

Barrier Option Approach for Threshold's Change in IFRS-The case of Taiwan

林威廷(Wei-Ting Lin)

指導教授 ： 邱忠榮

淡江大學/商管學院/財務金融學系碩士班/碩士(2016年)

https://doi.org/10.6846/TKU.2016.00745

摘要

本文研究目的為利用障礙選擇權探討採用IFRS後對台灣上市櫃公司信用風險的影響，其障礙選擇權模型違約機率之差異。由於國內外許多文獻已證明：使用GAAP財報資料時，障礙選擇權預測公司違約風險的能力優於KMV模型，而台灣已於2013年推動新的會計準則IFRS，本文想探討其障礙選擇權的預測違約能力是否會有所改變？本文資料來源為2008年∼2015年的台灣經濟新報資料庫（TEJ）的1595家公司（1377家正常營運的公司、96家曾發生財務危機的公司）。而本文研究步驟為分析台灣上市櫃公司各產業的GAAP與IFRS的障礙選擇權違約機率，並使用檢定力曲線以及Logit二元迴歸檢定各種產業的狀況。實證顯示：不論是GAAP或是IFRS的財報資料，其門檻負債比、檢定力曲線以及Logit二元迴歸都沒有明顯的差異。

關鍵字

障礙選擇權 ； IFRS ； 違約機率 ； KMV

並列摘要

This study’s purpose is investigating the influence of credit risk and the difference of default probabilities in Taiwan by Barrier Option after IFRS was used. Many literatures had proved that Barrier Option had better performance than KMV model when using GAAP financial data to predict default risk. In 2013, Taiwan promoted new accounting principles, IFRS. Therefore, we are wondering if the predicting ability of Barrier Option will have some changes.The samples are 1595 companies’ yearly data (including 1377 normal companies and 96 companies which had financial crisis before) from 2008 to 2015. And the research steps are examining the Barrier Option default probabilities of GAAP and IFRS in Taiwan Market first, then judging the industry situations by using power curve and logistic regression model.The empirical result found that no matter the data from GAAP or IFRS, there was no obvious difference between barrier-debt ratio, power curve, and logistic regression model.

並列關鍵字

Barrier option ； IFRS ； default probility ； KMV

參考文獻

4.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。

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

7.Iben, T. and Litterman R., (1989), Corporate bond valuation and the term structure of credit spreads, Journal of Portfolio Management, Vol. 17, 52-64.

8.Jonkhart, M., (1979), On the term structure of interest rates and the risk of default, Journal of Banking and Finance, Vol. 3, 253-262.

9.Kaplan, R.S. & Urwitz, G., (1979), Statistical models of bond ratings: A methodological inquiry, Journal of Business, Vol.52, 231-261.