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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 廖咸興 | |
| dc.contributor.author | Tsung-Kang Chen | en |
| dc.contributor.author | 陳宗岡 | zh_TW |
| dc.date.accessioned | 2021-06-15T00:18:03Z | - |
| dc.date.available | 2012-05-12 | |
| dc.date.copyright | 2009-05-12 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-04-21 | |
| dc.identifier.citation | Altman, E. I., 1968, “Financial Ratios, Discriminant Analysis, and the Prediction of Corporate Bankruptcy”, Journal of Finance 23, 589-609.
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Singleton, 1999, “Modeling the Term Structures of Defaultable Bonds”, Review of Financial Studies 12, 687-720. Duffie, D., L., Saita and Ke, Wang, 2007, “Multi-Period Corporate Failure Prediction with Stochastic Covariates”, Journal of Financial Economics 83, 635-665. Giesecke, K. and S., Weber, 2004, “Cyclical Correlations, Credit Contagion, and Portfolio Losses”, Journal of Banking and Finance 28, 3009-3036. Geske, R., 1977, “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantitative Analysis 12, 541-552. Gupton, G.M., C.C., Finger and M., Bhatia, 1997, “CreditMetrics – Technical Document,” New York: J.P.Morgan. Hackbarth, D., J., Miao and E., Morellec, 2006. 'Capital Structure, Credit Risk, and Macroeconomic Conditions,' Journal of Financial Economics 82, 519-550. Hankin, J.A., A.G., Seidner and J.T., Zietlow, 1998, “Financial Management for Nonprofit Organizations”, New York: John Wiley. Hillegeist, S. A., E. K. Keating, D. P. Cram, and K. G. Lundstedt, 2004, “Assessing the Probability of Bankruptcy”, Review of Accounting Studies 9, 5-34. Hull, J. and A., White, 1995, “The Impact of Default Risk on the Prices of Options and Other Derivative Securities”, Journal of Banking and Finance 19, 299-322. Jarrow, R. A., D., Lando and S.M., Turnbull, 1997, 'A Markov Model for the Term Structure of Credit Risk Spreads', Review of Financial Studies 10, 481-523. Jarrow, R. A. and S. M., Turnbull, 1995, “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance 50, 53-86. Jensen, M.C., 1986, “Agency Costs, Corporate Finance and Takeover,” American Economic Review 26, 323-339. Jones, E., S., Mason and E., Rosenfeld, 1984, “Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation”, Journal of Finance 39, 611-627. Jorion, P., and G., Zhang, 2007, “Good and Bad Credit Contagion: Evidence from Credit Default Swaps”, Journal of Financial Economics 84, 860-883. Kavvathas, D., 2001, “Estimating Credit Rating Transition Probabilities for Corporate Bonds”, Working paper, University of Chicago. Kim, I. J., K., Ramaswamy,, and S. M., Sundaresan, 1993, “Does Default Risk in Coupons Affect the Valuation of Corporate Bonds? A Contingent Claims Model,” Financial Management 22, 117-131 Lando, D., 1998, “On Cox Processes and Credit Risky Securities”, Review of Derivatives Research 2, 99-120. Litterman, Robert and T. Iben, 1991, “Corporate Bond Valuation and the Term Structure of Credit Spreads”, Journal of Portfolio Management 17, 52-64. Leland, H., and K. Toft, 1996, “Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,” Journal of Finance 51, 987-1019. Longstaff, F., and E. Schwartz, 1995, “Valuing Risky Debt: A New Approach,” Journal of Finance 50, 789-821. McQuown J.A., 1997, “Market versus Accounting-Based Measures of Default Risk”, Option Embedded Bonds, Irwin Professional Publishing, Chicago. Merton, R.C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance 29, 449-470. Ohlson, J., 1980, “Financial Ratios and the Probabilistic Prediction of Bankruptcy”, Journal of Accounting Research 19, 109-131. Shumway, T., 2001, “Forecasting Bankruptcy More Accurately: A Simple Hazard Model”, Journal of Business 74, 101-124. Unal, H., D., Madan and L., Güntay, 2003, “Pricing the Risk of Recovery in Default with APR Valuation”, Journal of Banking and Finance 27, 1001-1025. Vasicek, O. A., 1984, Credit Valuation, KMV Corporation. Vasicek, 1977, “An Equilibrium Characterization of the Term Structure”, Journal of Financial Economics 5, 177-188. Wilson, T., 1997a, Portfolio Credit Risk, I. RISK 10, September, 111-117. Wilson, T., 1997b, Portfolio Credit Risk, I. RISK 10, October, 56-61. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41395 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T00:18:03Z (GMT). No. of bitstreams: 1 ntu-98-D93723003-1.pdf: 785636 bytes, checksum: ec65e5175913353c880d32902cde9093 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | I. Introduction 1
II. The Model 8 2.1. The State-dependent Internal Liquidity Model 8 2.2. The Flow-based Corporate Credit Model 10 III. Numerical Example 15 3.1. The factor coefficients 20 3.2. The parameters of the state factor model 21 3.3. The long-term average internal liquidity level and the variances unexplained by state factors 23 IV. Preliminarily Examination of Model Effectiveness 24 4.1. Data 26 4.2. Parameters Estimation of the Internal Liquidity Model 26 4.3. Empirical Results of Credit Analysis of the Sampled Firms 27 V. Concluding Remarks 32 Reference 34 Appendix I. The Discussion of State-dependent Internal Liquidity Model 54 Appendix II. Parameters Estimation of the State Factor Model 56 Appendix III. The Setting of Parameters Values of State Factor Model in Numerical Analyses 58 Appendix IV. The Parameter Estimation Results of the Sample Firms used in Empirical Examinations 60 Figures Figure 1. Illustration of Insolvency Determination 40 Figure 2. The Forward and Cumulative PLCs and ELSRs in the Future 10 Years 40 Figure 3. The Forward and Cumulative PLCs and ELSRs in Different States 41 Figure 4. Sensitivity Analysis on the Changes of Factor coefficients 42 Figure 5. Sensitivity Analyses on Long-Term Average Internal Liquidity 43 Figure 6. Sensitivity Analyses on Residuals Variances Unexplained by State Factors 44 Tables Table 1. Economic Implications of State Factor and Its Factor coefficients 45 Table 2. The Impacts of Factor Model Parameters on Flow-based Credit Risks 46 Table 3. Summary of the Parameters Setting of the Model 47 Table 4. Sensitivity Analyses on the Factor coefficients with the Opposite Signs 48 Table 5. Factor Model Parameters and the Flow-based Credit Risk 49 Table 6. Sensitivity Analysis of the Factor Models’ Parameters on Flow-based Credit Risk 50 | |
| dc.language.iso | en | |
| dc.subject | 內部流動性 | zh_TW |
| dc.subject | 信用風險模型 | zh_TW |
| dc.subject | 償付不能 | zh_TW |
| dc.subject | 流量基礎 | zh_TW |
| dc.subject | 流動性短缺 | zh_TW |
| dc.subject | Credit Model | en |
| dc.subject | Insolvency | en |
| dc.subject | Liquidity Crunch | en |
| dc.subject | Flow-based | en |
| dc.subject | Internal Liquidity | en |
| dc.title | 流量基礎企業信用風險評估模型 | zh_TW |
| dc.title | A Flow-based Corporate Credit Model | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 博士 | |
| dc.contributor.oralexamcommittee | 陳聖賢,陳業寧,陳勝源,余尚武,張焯然 | |
| dc.subject.keyword | 內部流動性,流動性短缺,流量基礎,償付不能,信用風險模型, | zh_TW |
| dc.subject.keyword | Internal Liquidity,Liquidity Crunch,Flow-based,Insolvency,Credit Model, | en |
| dc.relation.page | 60 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2009-04-21 | |
| 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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