The effective analysis in credit score model and option pricing model－For example by electric industry

• Main Authors: Keng-Hui Chen, 陳耿輝
• Other Authors: Chin-Seng Lee
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/54827128244569650963

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 94 === With the flourishing development of the financial market, and the Basel Agreement is dispensed, the measurement and management of the credit risk becomes more and more important. There are many approachs to measure the credit risk, credit scoring model and option pricing model are used extensively. This paper compares two major credit risk model: “Altman’s Z-Score (credit scoring) and KMV model (option pricing model).” Using the data of Taiwan’s listed companies from 2000 to 2005, and we adopt two major comparative laws: logistic regression and power curve to test these two models. The empirical results of two kinds of comparative methods all get the similiar conclusion that option pricing model is better than Z-Score.