A Study on Default Prediction with the Modified KMV Model for Taiwan Companies
碩士 === 國立東華大學 === 國際經濟研究所 === 93 === This study adopts the modified KMV’s option model and uses the Taiwan TSEC and OTC-listed companies with financial crises to investigate the expected default frequency and the distance of default. We relax the original assumptions, that asset’s volatility is cons...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15483743489247533996 |
| Summary: | 碩士 === 國立東華大學 === 國際經濟研究所 === 93 === This study adopts the modified KMV’s option model and uses the Taiwan TSEC and
OTC-listed companies with financial crises to investigate the expected default frequency and
the distance of default. We relax the original assumptions, that asset’s volatility is constant
and that the asset pays no dividend, in the Black-Scholes and Merton model to explore the
case of stochastic volatility and dividend payment. We apply the pairing method in the
Altman’s Z-model to compare financially troubled companies to healthy companies with the
similar scale in the same industry. It’s found that the financially troubled companies have a
higher default probability than that of the normal companies in the modified KMV framework.
In general, the companies indicate a higher default probability one year prior to default than
that two year prior to default. The result in the logistic regression concludes that the modified
KMV model can effectively predict corporate credit risk.
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