Use the Market Model to Measure The Credit Risk of Corporations

• Main Authors: Huang Chang-long, 黃建隆
• Other Authors: Shang Da-bai
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/43998337565482972146

碩士 === 中國文化大學 === 會計研究所 === 91 === Today banking in Taiwan use the Basel Capital Accord, made in 1988 by Basel Committee of Banking Supervision of the Bank of International Settlement, to manage their risk and follow the rule of capital adequacy. In 2001, Basel Committee of Banking Supervision declared the draft of New Basel Capital Accord, the more complete risk management resolution, going to put into practice at beginning of 2006 in American and European areas. In the long term, Taiwan government will take effect to this accord be-cause our policy and economy follows the American and European. Therefore, banking in Taiwan now has the problem to comply with this accord. In new accord, the major requests are about credit risk management. The most im-portant element of the credit risk management tools is the credit rating. Generally speaking, meaning of credit rating is probably the same at credit scoring systems’, which had been widely used. The credit rating systems use each kind of subjective and objective information to determine the opponents’ capacity of whole payment, and give proper ratings. Now there are theoretical supports and advantages in some more mature credit risk models, but which is suitable for use in Taiwan has to be evaluated. The new accord allows bankers to establish the credit rating systems themselves in credit giving and there is large flexibility in what credit risk models to use. Since the new accord allows self-established model to measure the credit risk, this study based of Merton Option Pricing Model, through model correcting, variable changing, and established the credit risk model, using the stock market price informa-tion mainly, suitable for the economy environment in Taiwan, government policy, and objective of risk management. At the beginning, this study inferred the Merton Option Pricing Model to put in use to credit risk measurement, and established the credit risk model. Then this study put each financial report data and stock market information into this model to measure the credit risk of listed companies in Taiwan at the end of 2000. At the same time, according the real condition in Taiwan and relative theories, this study put five debt substitute variables and three stand deviation of return in stock market price substitute variables into the model, intending to find the best substitute variables combination suitable in Taiwan. Because of the complexity of this model in computing, this study corrected the structure of Merton Option Pricing Model with the financial theories existing, and measured the credit risk of listed companies in Taiwan again. This study compared the credit risk information computed by the model to the credit rating existing in Taiwan that could reflect the real credit conditions to verify the effectiveness of the model es-tablished before and after the model correcting and the variable changing. The result of this study showed that the model established had certain high level of effectiveness, but it was worse to electronic and information industries than others. After the model cor-rected, the computing process could be simplified and the effectiveness was not far away from that before the model corrected.