| Summary: | 碩士 === 東吳大學 === 會計學系 === 91 === This dissertation emulates KMV’s PFM model in estimating the credit risk of private firms in Taiwan. PFM uses public market information, in particular share prices, on peer publicly traded companies plus the firm’s financial data to estimate private firm’s asset value and volatility. Through these, the firm’s distance to default, which indicates the credit risk of the firm in this research, can be estimated.
This research puts the data of public firm’s share prices between 1994 and 1998 in Taiwan in Black & Scholes (1973) and Merton’s (1974) option pricing model to estimate the firm’s asset value and volatility. By integrating the financial statement data of these firms, a regression model of these two elements (asset value and volatility) is established. After putting required variables into the model, we can get the estimator of asset value and volatility. Therefore, the firm’s distance to default can be calculated. As far as the stand deviation of return on stock price is concerned, this research applies two substitute variables. Besides, this research divides the sample into five industrial categories. Finally, the performance was measured by utilizing the power curve.
After putting respective financial statement data of private firm in 2000 and 2001 into the model, empirical results indicate that PFM has certain high level of effectiveness, it can obvious explain whether a firm occurs financial crisis within one year. The result is similar to KMV’s empirical study. In addition, either the stand deviation or semi stand deviation of return on stock prices we applied, there is no significantly difference in the explanatory ability.
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