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題名：無股價企業信用風險模式之建立：Merton模型與Ohlson模型之結合
書刊名：中山管理評論
作者：張大成 引用關係／林郁翎 引用關係／蘇郁嵐
作者(外文)：Chang, Ta-cheng／Lin, Yu-ling／Su, Yu-lan
出版日期：2009
卷期：17:4
頁次：頁1045-1081
主題關鍵詞：信用風險；違約預警；Merton模型；Ohlson模型；PFM；Credit risk；Default prediction；Merton Model；Ohlson Model
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:25
  • 點閱點閱:43
有鑑於無股價企業之違約預警對銀行及債權人的重要性，本文結合Merton (1974) 之結構式選擇權評價模型，與Ohlson (1995) 的股權理論價值模型，提出Merton-Ohlson模型，據以評估無股價企業之信用風險。實證結果顯示，相較於傳統Merton利用市場資訊所估算之結構式模型，以及KMV公司所發展的無股價公司信用風險衡量模型（Private Firm Model, PFM），Merton-Ohlson模型之違約預警能力與預測正確率均有不錯的表現。因此本文認為可以採用Merton-Ohlson模型於無股價企業信用風險量化指標之建立，並在未來進一步將此分析模式應用於中小企業信用風險量化之評估。
The default prediction of private firms for bankers and debtors is quite important. In this study, the integration of the Merton's (1974) structural model and Ohlson's (1995) equity valuation model are adopted to develop the Merton-Ohlson model to evaluate the credit risks of private firms. After compared with both of the traditional Merton's structural model by using market data and the Private Firm Model (PFM developed by KMV Company), the ability of default prediction and the prediction accuracy of the Merton-Ohlson model show better empirical results. We conclude that the Merton-Ohlson model will be a valuable tool in the measurements of credit risks for private firms. The model can be applied further in credit risk evaluation of other small and median-sized businesses.
期刊論文
1.林達榮、林安城(2004)。提前違約風險下專案融資之評價模式。風險管理學報，6(1)，57-83。new window  延伸查詢new window
2.Hillegeist, S. A.、Keating, E. K.、Cram, D. P.、Lundstedt, K. G.(2004)。Assessing the Probability of Bankruptcy。Review of Accounting Studies，9(1)，5-34。  new window
3.Vassalou, Maria、Xing, Yuhang(2004)。Default risk in equity returns。Journal of Finance，59(2)，831-868。  new window
4.Diebold, F. X.、Rudebusch, G. D.(1989)。Scoring the Leading Indicators。Journal of Business，62(3)，369-391。  new window
5.Atiya, Amir F.(2001)。Bankruptcy Prediction for Credit Risk Using Neural Networks: A Survey and New Results。IEEE Transactions on Neural Networks，12(4)，929-935。  new window
6.Jarrow, Robert A.(2001)。Default Parameter Estimation using Market Prices。Financial Analysts Journal，57(5)，75-92。  new window
7.Jarrow, Robert A.、Turnbull, Stuart M.(2000)。The intersection of market and credit risk。Journal of Banking and Finance，24(1/2)，271-299。  new window
8.Dechow, Patricia M.、Hutton, Amy P.、Sloan, Richard G.(1999)。An Empirical Assessment of the Residual Income Valuation Model。Journal of Accounting & Economics，26，1-34。  new window
9.張大成、黃建隆、陳漢沖(20021100)。市場價格信用風險模型之修正與應用--以Merton模型為例。貨幣觀測與信用評等，38，86-94。  延伸查詢new window
10.Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance，50(1)，53-85。  new window
11.Feltham, Gerald A.、Ohlson, James A.(1995)。Valuation and clean surplus accounting for operating and financial activities。Contemporary Accounting Research，11(2)，689-731。  new window
12.Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance，29(2)，449-470。  new window
13.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
14.Ohlson, James A.(1995)。Earnings, Book Values, and Dividends in Equity Valuation。Contemporary Accounting Research，11(2)，661-687。  new window
15.陳業寧、王衍智、許鴻英(20040700)。臺灣企業財務危機之預測：信用評分法與選擇權評價法孰優？。風險管理學報，6(2)，155-179。new window  延伸查詢new window
16.Ohlson, James A.(1980)。Financial Ratios and the Probabilistic Prediction of Bankruptcy。Journal of Accounting Research，18(1)，109-131。  new window
17.Altman, Edward I.(1968)。Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy。The Journal of Finance，23(4)，589-609。  new window
18.Frankel, Richard M.、Lee, Charles M. C.(1998)。Accounting valuation, market expectation, and cross-sectional stock returns。Journal of Accounting and Economics，25(3)，283-319。  new window
19.沈中華、鄭寶琳、劉懷德、鄧秀娟、王文宇、劉懿愔(2004)。檢測台灣上市公司之違約機率－以選擇權理論法試算。臺灣銀行季刊，55(2)，265-299。new window  延伸查詢new window
20.敬永康、黃建隆(2002)。市場價格信用風險模型之架構與實施方式。貨幣觀測與信用評等，37，60-72。  延伸查詢new window
21.Benos, A.、Papanastasopoulos, G.(2007)。Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality。Mathematical and Computer Modelling，46(1/ 2)，47-68。  new window
22.Brier, G.(1950)。Verification of Forecasts Expressed in Terms of Probability。Monthly Weather Review，78(1)，1-3。  new window
23.Falkenstein, E.、Boral, A.(2001)。Some Empirical Results on the Merton Model。Risk Professional，April。  new window
24.Ota, K.(2002)。A Test of the Ohlson (1995) Model: Empirical Evidence from Japan。International Journal of Accounting，37(2)，157-182。  new window
研究報告
1.Crosbie, Peter、Bohn, Jeff(2003)。Modeling Default Risk。New York, NY：Moody's KMV。  new window
2.Bohn, J.(1999)。Using Market Data to Value Credit Risky Instruments。KMV LLC。  new window
3.Charitou, A.、Trigeorgis, L.(2000)。Option-based Bankruptcy Prediction。  new window
4.Farmen, T.、Westgaard, S.、van der Wijst, N.(2004)。An Empirical Test of Option Based Default Probabilities Using Payment Behavior and Auditor Notes。Norwegian University of Science and Technology Department of Industrial Economics and Technology Management。  new window
5.Gemmill, G.(2002)。Testing Merton's Model for Credit Spreads on Zero-coupon Bonds。  new window
6.McQuown, J.(1993)。A Comment on Market vs. Accounting-based Measures of Default Risk。  new window
學位論文
1.林妙宜(2002)。信用風險之衡量(碩士論文)。國立政治大學。  延伸查詢new window
2.林世杰(2005)。比較會計基礎與或有權利之違約風險評價模型。  延伸查詢new window
圖書
1.Nyberg, M.(2001)。Private Firm Model Introduction to the Modeling Methodology。KMV LLC。  new window
2.Vila, A. F.、Schary, M. A.(1995)。Default Risk in the Contingent Claims Model of Debt。Real Options in Capital Investment, Models, Strategies, and Applications。London, UK。  new window
 
 
 
 
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