Validation Methodologies for Corporation Default Prediction Model

• Main Authors: Tsai Ming-Chi, 蔡明志
• Other Authors: Yeh Shih-Kuo
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/82472691552467097490

碩士 === 國立中興大學 === 財務金融學系 === 93 === Abstract In this article we introduce validation methodologies and use these methodologies to validate Black Scholes Merton、Private Firm Model and TCRI. A quality credit risk model will help financial institution to avoid problematic enterprises ahead of time, reduce bad debt of financial institution, and quality of model must be validated and tested continuously to ensure it stable and efficient. This article introduces three aspects about validation including「The power test」、「The discrimination test」and「The stability test」. The financial data of listed company in Taiwan are brought into Black Scholes Merton and Private Firm Model to estimate default distance and then we directly use the grade of TCRI. Then three kinds of risk models will be validated with validation methodologies which this article introduces. Some literatures about validation only introduced「The power test」but this article will add 「The discrimination test」and 「The stability test」.