The study of Taiwan SMEs' probabilities of default and asset correlations in different risk segments under business cycle

• Main Author: 周學谷
• Other Authors: 陳惠美
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/33027441265747976524

碩士 === 國立嘉義大學 === 管理研究所(Graduate School of Business Administration) === 98 === Abstract The New Basel Accord suggest that default probability of SME is negatively related to its asset correlation. Moreover, SME deploys lower asset correlation than big corporation, which means that SME receives lower default situation than corporation as down cycle of economy. However, there are several empirical studies perform different opinions. 　　The main purpose of this study attempts to investigate the situations of Taiwan’s SME. We use ten years data, 1996-2005, to examine the relationships between default probabilities of SMEs and default correlations under business cycle. 　　After we employed four industry sectors, the result shows that the default probabilities of traditional industry, architectural industry, and tourism-service industry go upward during the depression, except electronic industry. We also found that asset correlations of SMEs are lower than big corporation, and the higher default probabilities in our industry sectors, the lower impact of business they are. The result consistent with Basel’s.