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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Main Authors: Hsin-Yi Lee, 李欣怡
Other Authors: Chaoshin Chiao
Format: Others
Language:zh-TW
Published: 2005
Online Access:http://ndltd.ncl.edu.tw/handle/15483743489247533996
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spelling ndltd-TW-093NDHU53240112016-06-06T04:11:18Z http://ndltd.ncl.edu.tw/handle/15483743489247533996 A Study on Default Prediction with the Modified KMV Model for Taiwan Companies 以修正KMV模式為基礎探討台灣上市上櫃公司違約風險 Hsin-Yi Lee 李欣怡 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. Chaoshin Chiao George Y. Wang 蕭朝興 王雍智 2005 學位論文 ; thesis 88 zh-TW
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language zh-TW
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description 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.
author2 Chaoshin Chiao
author_facet Chaoshin Chiao
Hsin-Yi Lee
李欣怡
author Hsin-Yi Lee
李欣怡
spellingShingle Hsin-Yi Lee
李欣怡
A Study on Default Prediction with the Modified KMV Model for Taiwan Companies
author_sort Hsin-Yi Lee
title A Study on Default Prediction with the Modified KMV Model for Taiwan Companies
title_short A Study on Default Prediction with the Modified KMV Model for Taiwan Companies
title_full A Study on Default Prediction with the Modified KMV Model for Taiwan Companies
title_fullStr A Study on Default Prediction with the Modified KMV Model for Taiwan Companies
title_full_unstemmed A Study on Default Prediction with the Modified KMV Model for Taiwan Companies
title_sort study on default prediction with the modified kmv model for taiwan companies
publishDate 2005
url http://ndltd.ncl.edu.tw/handle/15483743489247533996
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