企業信用風險與結構型模型之預測誤差探討：管理品質觀點

Abstract

根據2000年到2008年的資料，本研究從管理品質角度探討企業信用風險與結構型模型之預測誤差。我們發現管理品質確實對信用風險的評估有著顯著影響，與管理品質相關的三個因子對於評等機構與結構型模型的評等差異有18.25%到25.26%的解釋能力。此外，本研究發現管理品質效果與兩者差異為正相關，代表因管理品質提升所造成的資產波動性增加的效果大於因管理品質提升而降低代理成本的效果。

This work investigates the effects of management quality issues embedded in structural form credit models on firm’s credit risk evaluation using American firm data from 2000 to 2008. The findings of this research show that management quality significantly relates to the deviations in the credit risk evaluation of structural form models from agency ratings. This study finds three factors explaining 18.25% to 25.26% of the deviation and should be incorporated into credit risk modeling. Additionally, the effects of management quality positively relate to the deviation and confirm that the effects of the increase in asset volatility dominate those of the decrease in agency cost due to improvement in management quality.