運用現金流量信用風險模型評估營建公司之信用風險－以美國營建公司為例

Assessing the Credit Risk of Construction Contractors Using Cash Flow Based Credit Model

李敏晶(Man-Cheng Lei)

指導教授 ： 曾惠斌

共同指導教授 ： 廖咸興(Hsien-Hsing Liao)

國立臺灣大學/工學院/土木工程學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.00995

摘要

評估營建公司之信用風險在營建業之風險管理上是一個重要的議題，然而過去很少研究著重於評估營建公司之信用風險程度。由於現有的結構型信用風險模型與縮減型信用風險模型在應用上存在一些限制，並不能完全滿足營建業之信用風險評估之實務應用。對營建業而言，現金流量狀況能相當程度反應營建公司之償債能力。因此，本研究引用Liao & Chen (2006) 所發展出來的現金流量信用風險模型進行營建業之信用風險評量。本研究透過現金流量信用風險模型求出營建公司未來三年之信用風險分數後，與標準普爾(Standard and Poor)對各營建公司發出之信用評等作比較，衡量現金流量信用風險模型於各年判別信用風險高低之排序能力，以評斷使用此現金流量信用風險模型於營建業信用風險之適用性。
研究結果顯示，現金流量信用風險模型在未來一年之判別信用風險能力為優(AUC為0.8000)，在未來二年、未來三年之判別信用風險能力在可接受之範圍內(AUC 分別為0.7765與 0.7647)。因此，現金流量信用風險模型適合運用於營建業之信用風險衡量上。另外，現金流量信用風險模型僅需要會計報表中的現金流資訊，適用於上市或非上市之營建公司，能更為廣泛地應用於營建業之信用風險評量上。由於現時信評機關只提供小部份營建公司之評等，現金流量信用風險模型能提供一快捷便利的方法供使用者對缺乏信用評等之營建公司作評量。

關鍵字

營建業 ； 信用風險 ； 現金流模型 ； ROC 曲線

並列摘要

Though assessing the credit risk of construction contractors is a crucial issue in construction risk management, few researches focus on credit risk assessment for construction industry. Due to some limitations in the existing credit risk models (the structure-form models and the reduced-form models), they do not fully satisfy the demands for the credit risk assessment of construction industry. Since cash flows to large extent reflect a contractor’s capacity to meet its financial obligations, this study employ a flow based credit model proposed by Liao and Chen (2006) to assess the credit qualities of construction contractors. This study employs the Area Under Curve (AUC) to evaluate the model’s discriminatory performances in ranking the credit qualities of construction contractors in three years using Standard and Poor’s issuer credit ratings as the benchmarks.
The empirical results show that the cash flow based credit model are with an excellent discriminatory performance in one year (AUC=0.8000) and with acceptable performances in 2 year (AUC: 0.7765) and 3 year (AUC: 0.7647). These indicate the cash flow based credit risk model is useful in assessing the credit quality of construction contractors. In addition, the cash flow based credit risk model is applicable in both listed and private construction contractors as it only requires information of accounting statements. Since only a small portion of construction contractors are rated by rating agency, the cash flow based credit model is especially useful in credit risk assessment of unrated construction contractors.

並列關鍵字

construction industry ； credit risk ； cash flow based credit model ； ROC curve

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