請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24991完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳業寧(Yeh-Ning Chen) | |
| dc.contributor.author | Chih-Chun Liu | en |
| dc.contributor.author | 劉智鈞 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:59:45Z | - |
| dc.date.copyright | 2007-08-01 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-30 | |
| dc.identifier.citation | Altman, E. I. Financial ratios, 1968, Discriminant Analysis and the
Prediction of Corporate Bankruptcy, Journal of Finance 23: 189-209. Bharath, S. T., and T. Shumway, 2004, Forecasting Default with the KMV-Merton Model, Working Paper, University of Michigan. Black, F. and J. C. Cox, 1976, Valuing Corporate Securities: Some Effects of Bond Indenture Provisions, Journal of Finance 31, 351-367. Black, F. and Scholes, M., 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81(3): 637-654. Chen, Hu and Pan, 2006, Default Prediction of Various Structural Models, Working Paper. Collin-Dufresne, P. and R. S. Goldstein, 2001, Do Credit Spreads Reflect Stationary Leverage Ratios? Journal of Finance 56, 1929-1957. Crosbie, P. and Bohn, J., 2003, Modeling Default Risk, Moody’s KMV Company, December 18. Eom, Y. H., J. Helwege, and J. Huang, 2004, Structural Models of Corporate Bond Pricing: An Empirical Anslysis, Review of Financial Studies 17, 499-544. Ericsson, J., J. Reneby, and H. Wang, 2006, Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets, Working Paper of McGill University and Stockholm School of Economic. Huang, J. and M. Huang, 2003, How Much the Corporate- Treasury Yield Spread is Due to Credit Risk?, Working Paper, Penn State University and Stanford University. Jarrow, R. A. and Turnbull, S. M., 1995, Pricing Derivatives on Financial Securities Subject to Credit Risk, Journal of Finance 50: 53-86. Leland, H. E. and K. B. Toft, 1996, Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads, Journal of Finance 51, 987-1019. Leland, H. E., 1994, Corporate Debt Value, Bond Covenants, and Optimal Capital Structure, Journal of Finance 49, 1213-1252. Leland, H. E., 2004, Prediction of Default Probabilities in Structural Models of Debt, Journal of Investment Management 2, No. 2. Longstaff, F., and E. Schwartz, 1995, A Simple Approach to Valuing Risky Fixed and Floating Rate Debt and Determining Swaps Spread, Journal of Finance 50, 789-819. Merton, R. C., 1974, On the Pricing of Corporate Debt: the Risk Structure of Interest Rates, Journal of Finance 29(2). Wei, D. and D. Guo, 1997, Pricing Risky Debt: An Empirical Comparison of the Longstaff and Schwartz and Merton Models, Journal of Fixed Income 7, 8-28. 陳業寧、王衍智、許鴻英，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，6(2)，民93，7月：155-179。 陳松男，金融工程學，華泰書局，2002年。 蘇敏賢、林修葳，Merton 模型預測違約之使用限制探索，金融風險管理季刊，民95，第二卷第三期：65-87。 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24991 | - |
| dc.description.abstract | 本研究使用台灣經濟新報資料庫(TEJ)的資料，利用Merton (1974)的選擇權評價法與Altman(1968)的信用評分法計算各公司在2001年至2007年的違約距離，並使用波動度模型更準確地對選擇權評價法所需要的參數做預測，最後以排序法，ROC 曲線與AUC值來判
斷各模型在估計違約機率的能力。本研究結果顯示(1)GARCH(1,1)下的股價報酬率標準差所導出的DD值，其違約預測能力優於考慮一階自我相關AR(1)或歷史波動度模型所導出DD值的違約預測能力。(2) 考慮一階自我相關GARCH(1,1)下的的股價報酬率標準差所導出DD值，其違約預測能力優於信用評分法。 | zh_TW |
| dc.description.abstract | To calculate the default probability of Taiwan stock market from 2001 to 2007, we conduct Merton (1974) and Altman’s Z-score. In order to use the parameters correctly, we use GARCH process to predict those. We test the power of default prediction by the Receiver Operating Characteristic (ROC) curves and Area under Curve (AUC). The findings of this study are as follows:
1. The GARCH (1, 1) model is superior to the AR(1) model and historical volatility model. 2. The GARCH (1, 1) model is superior to the Altman’s Z-score model. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:59:45Z (GMT). No. of bitstreams: 1 ntu-96-R94723028-1.pdf: 407494 bytes, checksum: 8fa8fdee511a678293b37c6043b79031 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 目 錄
第壹章 緒論 1 第一節 研究動機與目的 1 第二節 研究方法 5 第三節 論文架構 5 第貳章 文獻回顧 6 第一節 結構式模型：Merton(1974) 6 第二節 信用評分模型：Altman(1968) 9 第參章 研究模型 10 第一節 計算違約距離 10 第二節 模型預測力檢定方法─排序法 13 第三節 模型預測力檢定方法─ROC曲線法 14 第肆章 實證研究 17 第一節 樣本選取 17 第二節 參數估計 19 第三節 實證結果─排序法 25 第四節 實證結果─ROC曲線法與AUC值 26 第伍章 結論及建議 28 參考文獻 30 附錄一 財務危機公司總覽 33 | |
| dc.language.iso | zh-TW | |
| dc.subject | 違約距離 | zh_TW |
| dc.subject | GARCH 模型 | zh_TW |
| dc.subject | ROC 曲線 | zh_TW |
| dc.subject | 信用評分法 | zh_TW |
| dc.subject | 違約機率 | zh_TW |
| dc.subject | 選擇權評價法 | zh_TW |
| dc.subject | GARCH process | en |
| dc.subject | Option Pricing Model | en |
| dc.subject | Z-score Model | en |
| dc.subject | Default Probability | en |
| dc.subject | Distance to Default | en |
| dc.subject | Receiver Operating Characteristic Curve | en |
| dc.title | 考慮GARCH過程的信用風險模型 | zh_TW |
| dc.title | Modeling Credit Risk with GARCH Process | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 曾郁仁(Yu-Ren Tzeng),胡星陽(Shing-Yang Hu) | |
| dc.subject.keyword | 選擇權評價法,信用評分法,違約機率,違約距離,GARCH 模型,ROC 曲線, | zh_TW |
| dc.subject.keyword | Option Pricing Model,Z-score Model,Default Probability,Distance to Default,Receiver Operating Characteristic Curve,GARCH process, | en |
| dc.relation.page | 32 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2007-07-31 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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