以縮減式模型探討營造公司之違約機率

Abstract

二十世紀末以來，諸多金融大事件發生，有關人士意識到一個重要的問題-信用風險，藉由信用風險的研究可使金融機構有更確切的方法稽核客戶的償債能力，甚至可使進行商業交易的雙方透過信用風險資料的取得而評估交易之可行性與其中不確定因素。在土木工程此契約標的金額動輒涉及上億元的領域中，信用風險的研究並未成為廣泛且受到契約雙方重視的問題，業主對承攬廠商人格性的漠視或包商對自身的信用狀況亦缺乏正確的認知，此等現象有待吾輩努力使之進步。 有別於過去使用財務報表或是KMV信用風險模型對違約機率的估定，本研究應用改良後之縮減式模型，也就是說在不使用公司債為實證資料的情形下，以公司股價亦可推算隱藏其中之違約機率，且在模型中囊括諸如市場風險溢酬因子或泡沫因子，且考慮總體市場經濟狀況，以求更接近於現實狀況。而本研究的實證結果也發現在台灣的營建業中泡沫因子的存在並非普遍，其中小泡沫的存在較大泡沫的存在來的多，而總體市場的泡沫因子在本研究之期間中亦未對個別公司股價造成顯著之影響，本研究更進一步發現市場即期利率對公司違約機率有顯著的影響，最後將求得各公司之違約機率。

There are many financial incidents since the end of 20th century.Because of that, some experts realized one critical issue-credit risk. By dealing with the problem of credit risk, the financial corporations could figure out the problem which never be solved in the past, such as the clients’ debt-repaying ability, and even traders could get the information they needed in the commercial behavior. It comes to a hard question that quantilizing some credit risk factors such as default probability. In this research, we provide a methodology which is totally different with the general methods of default probability estimation whatever the KMV model or the traditional skill of the financial sheet analysis.The data in our study we used to find out the implied default probability was equity price.Furthermore, in order to matching the market in the real would, the model we used included some specific factors,such as risk premium factors and bubble component, and even some factors about macroeconomics.In our empirical study, we found that it’s not easy to observe the bubble existed in construction industry in Taiwan and the existence of small bubble-volatility was more significant than the existence of big bubble.However, in this research, the macroeconomic factor didn’t cause the significant impact to the price of firm’s equity. Finally, we found that the spot interest rate would affect the firm’s default probability significantly and we got the value of firm’s default probability.