The Empirical Study of Multi-Period Structural and Reduced-Form Credit Risk Model－A Perspective of Taiwan Market

• Main Authors: Tien-Yuan Chen, 陳添源
• Other Authors: Shih-Kuo Yeh
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/47617776783250745682

碩士 === 國立中興大學 === 財務金融系所 === 95 === The main goal of this study is to use multi-period credit risk models to estimate the default probabilities of the Taiwan TSEC-listed companies. We use the structural and reduced-form model to estimate the default probabilities of the Taiwan TSEC-listed companies that issued corporate bond and had the same rating of the Taiwan Ratings. Respectively the models are Geske-Johnson Model and Jarrow and Turnbull Model. We also estimate the default probabilities of companies which have different ratings that are provided from the Taiwan Ratings. It is found that the function of default probability from reduced-form model is an increasing convex function. The function of default probability from structural model is an increasing concave function, and more stable than reduced-form model. Besides, empirical results are consistent with the ratings of the Taiwan Ratings. Consequently, the company has the higher rating will have the lower default probability.