以Merton違約距離模型預估台灣上市公司違約情形

Abstract

自從2007年金融海嘯爆發以來，許多大型公司面臨倒閉的危機，因此公司信用風險的衡量也越來越重要。本文以Merton DD Model與Bharath and Shumway(2008)提出的Naïve Merton Model為研究模型來衡量台灣上市公司的違約距離，並且以排序法與ROC曲線比較兩模型的準確度。在本文的實證結果中，發現Naïve Merton Model與Merton DD Model兩模型所計算出來的違約距離相關係數很高，表示兩模型相似度很高。除此之外，Naïve Merton Model在計算上十分簡便，準確度也不比Merton DD Model差。因此本研究認為Naïve Merton Model適用於在台灣的市場中。

Since the financial tsunami happened in 2007, many big enterprises faced default risk. Therefore, default risk measurement becomes more and more important. Our research use two models which Bharath and Shumway(2008) used. We compare the two models: Merton DD Model and Naïve Merton Model. Moreover, we use Ranking Method and ROC curve to examine the accuracy. In our empirical research, we find Naïve Merton Model is quiet simple and its accuracy is higher than Merton DD Model. Therefore, we think that Naïve Merton Model is suitable for Taiwan market.