以LOGIT模式預測台灣營造公司之違約機率

Abstract

因應營造廠商在承攬工程後因違約對於業主所帶來之損失與風險與日俱增，實需針對營造公司之經營特性，建立具實用價值之違約機率模型，以作風險管理之參考，而減少企業因財務失敗所造成之違約損害。 本研究以30家上市上櫃營造公司為研究樣本，利用統計檢定技術分析10 家危機及20 家正常公司之財務差異性，解析營造公司經營之關鍵財務變數，針對財務失敗(破產)，建構出營造公司之違約機率模型，並採用時間序列分析方法，對長期違約機率進行評估。研究結果顯示，本研究建立之違約機率模型模型於違約事件發生前一年至兩年間即可偵測出公司財務狀況惡化，亦可對長期違約風險進行量化，以提供國內營造公司風險評估之參考。

In order to manage the risk of the construction industry and to reduce the loss producted by construction companies’ financial distress, a practical default risk model for financial bankrupcy must be established in terms of the management characteristics of the construction industry. In this research, 30 samples are taken from the construction companies in Taiwan. The analysis of statistical examination among 10 failure companies and 20 healthy companies is used to discriminate the significant of financial variables. In accordance with financial distress, the model of default Probability is build. Then, by using the time series analysis of ARIMA model, we estimate the long term default probability of the construction companies. The result of this research shows that this newly established model is able to predict the trends of the worsening financial conditions in the companies one year before the actual financial crisis takes place. In addition, the model could quantify the long term default risk of companies. It could be a reference for the risk estimation in construction companies in Taiwan.