| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 99 === In this paper we measure the credit risk under structural model. We include two different processes under three different structural models and compare which model has best ability to predict default probability if the firm is going to bankruptcy. During financial crisis period, we estimate the default probability of financial companies in future three months, six months, and one year. In our empirical result, we conclude that when we use the endogenous barrier framework under geometric Brownian motion (GBM), it will have more power to predict default than other models. On the other hand, we use the European option framework under Constant Elasticity of Variance (CEV) process has more powerful to predict default than other models. In summary, using the endogenous barrier framework under GBM has the most powerful prediction on default.
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