多期公司短期信用風險評估--狀態相依流動性餘額模型

Abstract

近幾十年來，評估信用風險的文獻發展非常迅速。以模型的方法來說，可以粗分為兩大領域：會計基礎模型與市場基礎模型。然而在上述模型之中，很少能夠從公司財務資訊發展出有代表性的流動性指標來評估短期信用風險，更沒有進一步地以流動性指標為基礎建立隨機模型。除此之外，我們也很難找到模型可以同時內生產生流動性危機率 (probability of insolvency) 與預期流動性不足 (expected liquidity deficiency)。根據每單位資產流動性餘額 (以下簡稱LB/A) 的兩大特性—平均反轉以及可正可負，還有變化係數 (varying coefficient) 模型的概念，本研究建構出「狀態相依隨機流動性餘額模型」 (state-dependent stochastic liquidity balance model)，以評估多期公司短期信用風險。本模型透過隨機產業經濟狀態模型產生的資訊，考慮了產業經濟狀態對一家公司LB/A結構的衝擊 (例如：流動性餘額模型的參數)。此流動性餘額模型可以模擬許多條LB/A路徑，並得出未來各期LB/A的分配。有了LB/A的分配與流動性危機的定義準則 (當LB/A小於零)，我們可以推估出未來各期流動性危機率以及預期流動性不足。而對於外部投資者與債權人來說，本模型只需使用公開的公司財務資訊與產業經濟狀態資訊即可容易操作。最後，本研究的實證結果初步驗證了本模型的有效性。

In recent decades, literatures on credit risk measurement evolved dramatically. According to modeling techniques, they can be roughly grouped into two major categories, “accounting-based models” and “market-based models”. However, among the above models, few of them develop representative liquidity measure from corporate financial data to evaluate short-term credit risk and further build up a stochastic model based on the liquidity measure. In addition, we can hardly find a model that can generate probability of insolvency and expected liquidity deficiency endogenously and concurrently. Basing upon two significant characteristics of liquidity balance per unit asset (later denoted as LB/A) --“mean-reversion” and “allowing positive and negative values”, and the concept of varying coefficient model, the study constructs a “state-dependent stochastic liquidity balance model” to assess multi-period corporate short-term credit risk. It considers the impacts of industrial economic state changes on the structure of a firm’s LB/A process (i.e. the parameters of the liquidity balance model) through incorporating information generated from a stochastic industrial economic state model. The liquidity balance model can simulate many LB/A paths and then the LB/A distributions of each future period. With LB/A distribution and the criteria of insolvency (when LB/A is less than zero), we can obtain both the probability of a company’s liquidity crisis and the expected liquidity deficiency in future periods. In addition, for outside investors or creditors, this liquidity balance model is readily for them to perform a firm’s multi-period short-term credit risk analysis by using only publicly available information of corporate finance and the industrial economic state (i.e. the industrial cyclicality information). The empirical results of this study show preliminarily supports for the effectiveness of the model.