The default risk analysis of Taiwan bank industy: the comparison between financial accounting ratios and distance to default

• Main Author: 蔡宗明
• Other Authors: 郭炳伸
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/94557780202730855022

碩士 === 國立政治大學 === 國際經營與貿易研究所 === 99 === As highly development in commercial activities and international trade become more frequently, the role of banks has become much more important than before. If banks are influenced by shocks, the whole economy might encounter serious financial crisis. Therefore, this research aims to discover what variable will have better explanatory power for banks’ operating situation. In the thesis, two kinds of explanatory variables are selected: one is based on the financial accounting ratios from Altman Z-scores model, and the other is distance to default which is derived from Black and Scholes’ option pricing formula. In prior thesis, both types of model have been usually discussed about their individual explanatory power to corporate default risk, but there are few papers comparing them and finding which one is better. Hence, this research takes 17 banks in Taiwan from 2000 to 2008 as samples, and puts them in the same Logit model to find which type of variables has better explanatory power for bank’s operating situation. According to the empirical result, distance to default would perform better than financial accounting ratios, so supervising the distance to default of banks will be useful for banks to find if there are problems in its operation and prevent it from becoming a big trouble in advance.