| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 95 === With the development of globalization and liberalization, the financial environment has been changed rapidly. In addition to the competition between the financial institutions, financial institutions would not be dominant any more as before. Financial institutions face an increase in credit risk. Therefore, in order to lower the credit risk and improve the quality of the financial institutions before financial crisis, it has become a crucial issue to manage the financial risk by financial distress model.
In this study, we discuss the credit risk measure method of KMV model. We also develop the logistic model to exam whether the factors of credit risk based on the instant market information or the factors in financial statements has the better predicting ability about the financial crisis for the financial industry. Through the examination, we found that the KMV model based on the stock price to estimate the banking credit risk is timely efficiency; it would be more instant than others do. However, there might be the artificial operation or the asymmetric information in stock market, so it does not reflect truly the condition of management. Thus, it is not a better measure by using the factors based on instant market information. In this way, we might conclude that there is still space to improve the predictability of the financial distress model for the financial industry.
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