過去亞洲金融風暴襲捲整個亞洲,各國股、匯市受創嚴重,在2008年又因美國次級房貸危機引發金融風暴,重創全球金融市場,全球股市無一倖免之外,因而造成世界國家經濟莫大的衝擊。在全球經濟環境持續劇烈變動下,上市上櫃公司的經營不善,發生財務危機,則波及得不只是企業內部而已,對外部影響更甚,若能針對上市上櫃公司進行違約風險之預測,對於企業外部之大眾而言,不僅可提供資訊令投資人瞭解該公司是否具有財務危機能夠及時進行規避,也利於外界判斷該公司是否將會發生違約事件,及時加以監督、保障大眾之權利。本研究之主要目的在於以違約距離、違約指標與公司治理指標來進行違約風險之預測,研究出更為準確之預測方法。在本研究中將先利用Merton model所計算出的違約距離、Z-Score與Zmijewski Score作為自變數,且使此變數建構成一個能最適合Logistic迴歸模型運用,再以Logistic迴歸模型建構公司財務危機預測模型,以最少變數之數量,達到準確預測企業違約之可能性。
In 1990s, Asian Financial Crisis raised fears of a worldwide economic meltdown which leaded to a significant impact on stock and foreign exchange markets. Moreover, subprime mortgage crisis in 2008 which have been called the most serious financial crisis since the Great Depression caused global economic collapse.In this fiercely fluctuated global economic, the poor operating management and internal financial crisis in listing and OTC enterprises effects not only inside the company but the external environment. If we can predict the default risk in those companies for normal investors, the prediction can provide some useful information to avoid the hidden financial crisis and determine the proportion of default events in the company.This research focused on distance-to-default, default index and corporate governance index to predict the default risk, anglicizing accurate prediction as well. In this report, firstly, we use Merton model to have distance to default. Z-score and Zmijewski Score which are for variables went to a Logistic Regression intervention model generating financial crisis prediction model of corporate that can increase the percentage of positive prediction of business default in fewer variables.