請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/53537
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 曾惠斌(Hui-Ping Tserng) | |
dc.contributor.author | Tran Lam | en |
dc.contributor.author | 陳琳 | zh_TW |
dc.date.accessioned | 2021-06-16T02:25:30Z | - |
dc.date.available | 2015-08-06 | |
dc.date.copyright | 2015-08-06 | |
dc.date.issued | 2015 | |
dc.date.submitted | 2015-08-06 | |
dc.identifier.citation | Black, F., and Scholes, M. (1973). “ The pricing of options and corporate liabilities.” Journal of Political Economy, 81(3), 637-654.
Chen, T.-k., Liao, H.-H., Lu, C.-W (2011). “A Flow Based Corporate Credit Model.” Review of Quantitative Finance and Accounting, 36(4), 517-532. Campbell, J. Y., Hilscher, J., Szilagyi, J. (2008). “In search of distress risk.” Journal of Finance, American Finance Association, 63(6), 2899-2939. Giesecke, K., (2004). “Correlated default with incomplete information.” Journal of Banking and Finance, 28, 1521-1545. Hillegeist, S.A., Keating, E.K., Cram, D.P., Lundstedt, K.G. (2004). “Assessing the probability of bankruptcy.” Review of Accounting Studies, 9, 5-34. Hosmer, D. W., and Lemeshow, S. (2000). “Applied logistic Regression.” 2nd Ed., John Wiley & Sons, Inc. New York Huang, Wen-Haw (2014): “Dynamic Threshold Cash Flow-Based Structural Model for Contractor Financial Prequalification “. Journal of Construction Engineering and Management, Volume 140, Issue 10. Liao, H.-H. and Chen, T.K. (2006). “A cash flow based multi-period corporate credit model”. Computers & Mathematics with Applications Volume 54, Issue 4, August 2007, Pages 499-506 Liao, H.-H., Chen, T.-K., Su, Y.-H. (2007). “Credit analysis of corporate credit portfolio─a cash flow based conditional independent default approach.” Presented at The Asian Finance Association 2009 International Conference, Brisbane, Australia, June 30–July 3. Available at http://www.fin.ntu.edu.tw/~liao/CopulaFTM0925NTU.pdf Lei, M.-C. (2011). “Assessing the credit risk of construction contractors using cash flow based credit model” M.S. Thesis of Civil Engineering Department, National Taiwan University. Lee, Shu Yi ( 2012) “ Contractor Financial Prequalification – Cash Flow Based Structural Model With Dynamic Threshold” M.S. Thesis of Civil Engineering Department, National Taiwan University. Merton, R.C. (1974). “On the pricing of corporate debt: the risk structure of interest rates.” The Journal of Finance, 29(2), 449-470. Park, H.K., S.H., Russell, J.S. (2005). “Cash flow forecasting model for general contractors using moving weights of cost categories.” Journal of Management in Engineering, 21(4), 164-172. Russell and Skibniewski (1988). “ Decision criteria in contractor prequalification.” Journal of Management in Engineering, 4(2), 148-164. Russell, J.S., (1992). “Decision models for analysis and evaluation of construction contractos.” Construction Management and Economics, 10, 185-202. Russell, J.S., Hancher, D.E., and Skibniewski, M.J. (1992). “Contractor prequalification data for construction owners.” Construction Management and Economics, 10, 117-135. Russell, J.S (1996). “Constructor Prequalification: Choosing the Best Constructor and Avoiding Constructor Failure.” American Society of Civil Engineers, New York. Russell, J. S. and Zhai, H. M. (1996). “Predicting contractor failure using stochastic dynamics of economic and financial variables.” Journal of Construction Engineering and Management, 122(2), 183-191. Sign, S. and Lakanathan, G. (1992). “Computer-Based Cash Flow Model.” Proceedings of the 36th Annual Transactions of the American Association of Cost Engineers-AACE, R.5.1-R.5.14. Schweser, K. (2008). Free Cash Flow Valuation, CFA Institute. Su, Y.-H., (2007). “A cash flow based multi-period credit portfolio model with dynamic default threshold.” M.S. of Finance Department, National Taiwan University. Tserng, H.P., Liao, H.H., Tsai, L.K., Chen, P.C. (2010). “Predicting Construction Contractor Default with Option-Based Credit Models –Models’ Performance and Comparison with Financial Ratio Models.” Journal of Construction Engineering and Management, 137(6), 412-420. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/53537 | - |
dc.description.abstract | ABSTRACT
Prequalifying contractors is an important task of project owner to screen out the contractor’s capabilities. In general, a predetermined set of criteria including contractors’ financial standing, technical ability, management capability, health and safety, and reputation is often screened out through the contractor prequalification process. This study attempts to employ an approach using the cash flow model proposed by Liao, Chen and Su (2007) to assess the Vietnamese contractor’s financial standing in prequalification. The main reason leading to the most of construction company failure is not inadequate management of other sources, but because of lacking sufficient cash flow to support daily expenditure. Therefore, it is important to have an appropriate evaluation of contractors’ financial aspect in prequalification process. The cash flow based structural model with dynamic threshold can simulate and list the credit quality score of each construction contractor from the cash flow of firm. Thus, the financial qualified contractors can be differentiated from those who are disqualified. The study employs the Area Under Curve (AUC) to evaluate the discriminatory performance of the model in rating the contractor credit in two years and use the credit rating performed by a Vietnamese bank as the benchmarks. The empirical results figure out that the cash flow based structural model with dynamic threshold is with excellent discriminatory power: AUC = 0.8333 in first year; AUC = 0.8095 in second year. These indicate that this model can be applied to assess the credit risk of construction contractor. Moreover, since this model only requires the information of accounting statement, it is applicable in both listed and private construction contractors. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T02:25:30Z (GMT). No. of bitstreams: 1 ntu-104-R02521727-1.pdf: 1611929 bytes, checksum: b93fd59b055448bb1fc9de41fcc8387d (MD5) Previous issue date: 2015 | en |
dc.description.tableofcontents | ABSTRACT II
TABLE OF CONTENTS IV LIST OF FIGURES VI LIST OF TABLES VII Chapter 1 : Introduction 1 1.1 Background 1 1.2 Motivations and Problem Statements 1 1.2.1 Contractor Prequalification in Vietnam 2 1.2.2 The Unique Financial Risk in Construction Industry 2 1.3 Purposes and Potential Application 3 1.4 Procedure of the Research 4 1.5 Framework of the Thesis 4 Chapter 2 : Literature Review 6 2.1 Contractor Prequalification in Vietnam 6 2.2 Credit Risk Models 7 2.3 Free Cash Flow to Firm 8 2.4 Cash Flow Based Structural Model with Dynamic Threshold 9 2.5 Summary 10 Chapter 3 : Methodology 12 3.1 Framework of Research Methodology 12 3.2 The Cash Flow Based Structural Model with Dynamic Threshold 15 3.2.1 A Firm’s State Dependent Free Cash Flow Based Credit Model 15 3.2.2 Estimation of a Firm’s Weighted Average Cost of Capital 17 3.2.3 Default Threshold with Stationary Leverage Ratio 18 3.3 Model Result Verifying 20 3.4 Model Evaluation Approach using ROC curve 21 3.5 Summary 23 Chapter 4 : Empirical Application 24 4.1 Data and Collection 24 4.2 The Selection of Cash Flow Proxy 27 4.3 Factor Analysis and Parameter Estimations of the State Factor Process 27 4.4 Parameters Estimations of the Present Value Model 28 4.4.1 Estimation of a Firm’s Weighted Average Cost of Capital 28 4.4.2 Estimation of Constant Growth Rate 30 4.4.3 Estimation of the Shift Term to a Firm’s Cash Flow Paths 31 4.5 Dynamic Default Threshold with Stationary Leverage Ratio 32 4.6 Credit Quality Score and Model Result Checking 35 4.7 Limitations 39 4.8 Summary 40 Chapter 5 : Conclusion 41 References 42 Appendixes 1 Appendix I: Vietnamese Bank Credit Rating 1 Appendix II: Factor Analysis of Firm’s Free Cash Flows 10 Appendix III: Maximum Likelihood Algorithm for Factor Generating Formula 14 Appendix IV: Estimation of the Shift Term to a Firm’s Cash Flow Paths 16 Appendix V: Estimation of the Long-term Average Leverage Ratio 18 | |
dc.language.iso | en | |
dc.title | 應用現金流財務模型分析越南營造公司信用評等之研究 | zh_TW |
dc.title | Application of Cash Flow Based Structural Model in Assessing Vietnamese Construction Contractor Financial Prequalification | en |
dc.type | Thesis | |
dc.date.schoolyear | 103-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 郭斯傑(Sy-Jye Guo),陳柏翰(Po-Han Chen) | |
dc.subject.keyword | 現金流財務模型, | zh_TW |
dc.subject.keyword | construction industry,contractor prequalification,credit risk,cash flow based structural model with dynamic threshold,ROC curve, | en |
dc.relation.page | 62 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2015-08-06 | |
dc.contributor.author-college | 工學院 | zh_TW |
dc.contributor.author-dept | 土木工程學研究所 | zh_TW |
顯示於系所單位: | 土木工程學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-104-1.pdf 目前未授權公開取用 | 1.57 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。