流量基礎企業信用風險評估模型

Abstract

本研究建立一個流量基礎下的企業信用風險評估模型，此模型可同時且內生化地決定企業未來多期的流動性短缺機率及預期流動性不足率。本研究模型以狀態相依內部流動性隨機模型為基礎，並將企業內部流動性的動態改變區分為系統性及公司特有風險之衝擊。而本模型不同於以往的結構型信用風險模型，因為本模型考量的是流量基礎下所可能發生的償付不能情形，而結構型模型所考量的是存量基礎下資產低於負債的情形，因此，本研究模型有潛力能捕捉更多短期內的信用風險相關資訊。此外，本模型亦不同於縮減型信用風險模型及傳統會計基礎之破產預測模型，因為本模型能內生化提供企業多期的流動性危機機率及預期流動性不足率。

This study develops a flow-based corporate credit model that is able to generate concurrently and endogenously a firm’s multi-period probabilities of liquidity crunch and expected liquidity shortfalls. Based upon a state-dependent internal liquidity model, it is able to incorporate both systematic and idiosyncratic shocks into corporate internal liquidity dynamics. It is different from structural form credit models in that it considers a flow-based insolvency rather than a stock-based one, and has a potential to capture short-term credit information. Additionally, it is different from both reduced form and traditional accounting-based bankruptcy models in that it is able to provide multi-period expected liquidity shortfalls endogenously.