利用權益價格估算台灣上市公司之違約機率

Abstract

本研究屬於信用風險縮減式模型，利用公司權益報酬來估計其違約機率，係根據Jarrow(2001)所提出的模型結構與假設，採用結構式模型的權益價格結合縮減式信用風險建模方法來估算違約機率。在研究期間為2002年1月至2007年3月，以台灣上市公司為樣本，分不同產業挑選出10家公司，依公司橫斷面資料，以滾動估計方式，作月資料的時間序列迴歸模型分析。

權益模型由於泡沫因子的存在，以及受到權益風險貼水的影響，造成違約機率在估計上會受到干擾，產生極端值。相較之下，雖然利用權益為基礎估計出來的違約機率要比使用中華信用評等歷史資料來的高，但公司之間彼此違約相對大小仍具參考價值。

This study uses a reduced-form credit risk model to estimate default probability implicit in equity prices. We follow a generalization of the reduced-form model for equity returns contained in Jarrow(2001). Equity prices in conjunction with a reduced-form credit risk modeling approach to estimate default probability. The time period covered in this study is January 2002-March 2007. For a cross-section of Taiwan companies, a time-series regression of monthly equity returns is estimated.

However, the existence of price bubbles and the difficulty in modeling equity price risk premium confound the estimation of these default probabilities, generating potentially biased estimates with extreme values. Although comparison of the default intensity estimates obtained with those obtained using historical data that the equity-based default intensities are significantly larger, but it is still useful to estimating the relative values between the firms.