Prediction of financial crisis, taking companies listed in Taiwan Security Exchange and OTC for instance－Comparison of credit scoring model and option pricing model
碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === With the flourishing development of the financial market and institution, the measurement and management of the credit risk becomes more and more important. There are many methods to measure the credit risk, such as the credit scoring model and the option pricing...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/58322812620711298990 |
| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === With the flourishing development of the financial market and institution, the measurement and management of the credit risk becomes more and more important. There are many methods to measure the credit risk, such as the credit scoring model and the option pricing model are used extensively. This paper compares these two major credit risk model: “Altman’s Z-Score (credit scoring) and barrier option pricing model (option pricing).” Using the data of Taiwan’s listed companies from 2000 to 2004, and we adopt three major comparative laws: intra-cohort analysis, logit regression, and power curve. The empirical results of three kinds of comparative methods all get the same conclusion that Z-Score is better than barrier option pricing model.
|
|---|