從選擇權觀點探討我國上櫃公司違約距離與違約風險

Abstract

本研究是用違約距離這個指標來探討並且衡量我國上櫃公司在1998年~2001年間，其違約風險大小的變化。在本研究中，針對違約距離這個指標中的兩個重要變數—違約點的設定與公司資產市值的波動性，利用二元羅吉斯迴歸來進行評估，以選擇一較佳的模式來建構我國上櫃公司的預期違約頻率。 實證的結果發現：1、違約距離對於判斷一家企業在一年內是否會發生財務危機，都存在著顯著的解釋能力。2、而將違約點設定在公司的全部負債時，會有較佳的預測能力。3、以GARCH(1,1)的方法來估計公司資產市值的波動性時，其違約距離對預測一年內是否有財務危機的能力最高。4、利用計算出來的違約距離，嘗試建構我國上櫃公司的預期違約頻率，計算出來的結果，發現的確有隨著違約距離愈大，預期違約頻率愈小的情況。

In this study, we use the indicator, default to distance to measure the default risk of Taiwan OTC corporations between 1998 and 2001. In this study, we focus on two important variables of the indicator, default point and volatility of market value of corporation’s asset. Binary logistic regression is applied to evaluate and choice a model to construct expected default frequency for Taiwan OTC corporations. We have 4 important empirical results. First, we find the indicator, default to distance can obvious explain whether a company occur financial crisis in one year. Second, the proposed model has better explanation ability if all liabilities of a company is employed as the default point. Third, The default to distance has the highest explanation ability for a company whether it occurs financial crisis in one year if GARCH(1,1) method is used to estimate volatility of market value of corporation’s assets. Forth, when default to distance is applied to construct expected default frequency for Taiwan OTC corporations. It is found that default to distance is bigger and expected default frequency will be smaller.