負債結構對營建公司違約邊界之影響

Abstract

信用風險管理為近幾年來金融業所關切的議題之一，由於信用風險的發生往往伴隨著鉅額的虧損，因此建立一套良好的信用風險管理制度是非常重要的。

在學術界及實務界對於如何決定這些參數，有提出相當多的模型及研究，其中以信用評分法和選擇權評價法被廣泛使用，但信用評分法是依照公司的財務數字來衡量信用風險，會造成在估算結果上面的誤差和時間落後的情形，因此本研究選用選擇權評價法來進行公司違約邊界和違約機率的估算。

最後本研究利用障礙選擇權模型，找出台灣營造業違約邊界，以作為評價營造公司違約時，公司市值和負債之間的關係。

The Credit Risk Management has been a critical issue in the financial industry in the recent years. A large amount of loss is generally resulted from the credit risk, thus, it is essentail to establish a set of credit risk management system. There are a number of models and research in the academic and the practical field in the explanation of how to decide these references. Credit scoring and option pricing are two methods that are widely used . However, credit risk is measured by the compay's financail figures, which causes the inaccurate evaluation and time backward situation. Therefore, option pricing method is utilized to evaluate the default boundary and default probabilities in this thesis. Finally, the barrier option model is applied to indicate the default boundary in the Taiwanese construction industry, which shows the relation between company's market value and the debt for the purpose of default evaluaton of construction firms.