| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 99 === Abstract
Title of thesis：Comparisons for Implied Default Probabilities of KMV Model and Credit Rating: An Application to Taiwan Market
Name of Institute：Department of Finance and International Business (Master’s Program in Finance) Fu Jen University
Student：Chen, Tsung-Chung Advisor：Chen, Tsung-Kang
Total Pages：79
Key words：KMV Model、Credit Rating、Implied Default Probability.
Among the previous studies, few of them discuss the comparisons for implied default probabilities of KMV model and credit rating, especially for Taiwan market. Liao, Chen, and Lu (2009) employ American bank data to demonstrate the comparisons of implied default probabilities for structural credit models and credit rating. This study mainly follows Liao, Chen, and Lu (2009) and employs Taiwanese companies with credit rating used in Liao and Chen (2008) and Chen, Liao, and Chou (2011). To strength the reliability of our empirical results, this study also employs some firms with bankruptcy crisis and divides the sample firms into investment-grade and non-investment grade ones. The empirical results reveal that the prediction effectiveness of KMV model is higher for short-term credit risk assessments than that for long-term ones. Furthermore, the study also finds that the prediction power of KMV model for investment-grade firms is better than that for non-investment grade firms.
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