An Empirical Analysis of KMV Credit Risk Model with Corrected Default Point : A Case Study in Taiwan Market

• Main Authors: Yong-Shun Han, 韓湧順
• Other Authors: Yi-Long Hsiao
• Format: Others
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/4j554b

碩士 === 國立東華大學 === 財務金融學系 === 102 === This paper using the KMV model and select the Taiwan's listed companies with financial crises to discussing its default probability and find the appropriate default point. We apply the pairing method in the Altman’s model to compare financially troubled companies with the normal condition companies with the similar scale in the same industry. Credit risk papers discussed many issues, Whether domestic-related or foreign-related studies have desires a most suitable and best risk measurement models to observe the different types of industries, therefore this study using KMV option model to research the listed companies in Taiwan to measure the probability of default. KMV’s default point is defined as short-term debt plus a half of long-term liabilities. Due to regional, national economic situation, differences in the financial structure of the enterprise scale and type of industry companies, at first we must realize the define of default point whether its recognized standard, otherwise it will lead to miscalculation the default probability and the degree of risk, therefore this paper is based on the KMV model of default point, the purpose is to find out the new default point and compare with the original KMV model. The empirical result show that the financial crisis company’s default probability is larger than normal condition company and the distance of default is smaller than the normal condition company.