Corporate Credit Risk Measurement
碩士 === 國立政治大學 === 金融學系 === 90 === Credit Risk has been the great concern in the financial market. Before the bank grants a loan or the company makes deals and investment, they first consider the credit risk of the conterparty. The empirical study tries to construct the credit risk models based on th...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2002
|
Online Access: | http://ndltd.ncl.edu.tw/handle/51829451336744763039 |
id |
ndltd-TW-090NCCU0214007 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-090NCCU02140072016-06-27T16:09:30Z http://ndltd.ncl.edu.tw/handle/51829451336744763039 Corporate Credit Risk Measurement 信用風險之衡量 Lin, Miao-Yi 林妙宜 碩士 國立政治大學 金融學系 90 Credit Risk has been the great concern in the financial market. Before the bank grants a loan or the company makes deals and investment, they first consider the credit risk of the conterparty. The empirical study tries to construct the credit risk models based on the public firms in Taiwan. Using financial ratios and stock prices, the two main sources of corporate financial information, we expect to provide a fair and efficient indicator to measure the corporate credit risk in Taiwan. In the discriminant analysis based on accounting data, the model chooses five financial ratios that cover the corporate operation and financial situation. They are earnings per share, operating cash flow to total debt, equity substantial growth rate, and average days to accounts receivable. The discrimanant analysis model can accurately classify 91.67% of the data as being default or solvency one year before the financial distress. In the option pricing model based on stock prices, the expected default probability can be solved by daily stock prices. In this model, how the market values the firm is turned into the level of credit risk, which can help us catch the changes of corporate soundness and make proper responses. Chen, Son-Nan 陳松男 2002 學位論文 ; thesis 57 zh-TW |
collection |
NDLTD |
language |
zh-TW |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 國立政治大學 === 金融學系 === 90 === Credit Risk has been the great concern in the financial market. Before the bank grants a loan or the company makes deals and investment, they first consider the credit risk of the conterparty. The empirical study tries to construct the credit risk models based on the public firms in Taiwan. Using financial ratios and stock prices, the two main sources of corporate financial information, we expect to provide a fair and efficient indicator to measure the corporate credit risk in Taiwan.
In the discriminant analysis based on accounting data, the model chooses five financial ratios that cover the corporate operation and financial situation. They are earnings per share, operating cash flow to total debt, equity substantial growth rate, and average days to accounts receivable. The discrimanant analysis model can accurately classify 91.67% of the data as being default or solvency one year before the financial distress.
In the option pricing model based on stock prices, the expected default probability can be solved by daily stock prices. In this model, how the market values the firm is turned into the level of credit risk, which can help us catch the changes of corporate soundness and make proper responses.
|
author2 |
Chen, Son-Nan |
author_facet |
Chen, Son-Nan Lin, Miao-Yi 林妙宜 |
author |
Lin, Miao-Yi 林妙宜 |
spellingShingle |
Lin, Miao-Yi 林妙宜 Corporate Credit Risk Measurement |
author_sort |
Lin, Miao-Yi |
title |
Corporate Credit Risk Measurement |
title_short |
Corporate Credit Risk Measurement |
title_full |
Corporate Credit Risk Measurement |
title_fullStr |
Corporate Credit Risk Measurement |
title_full_unstemmed |
Corporate Credit Risk Measurement |
title_sort |
corporate credit risk measurement |
publishDate |
2002 |
url |
http://ndltd.ncl.edu.tw/handle/51829451336744763039 |
work_keys_str_mv |
AT linmiaoyi corporatecreditriskmeasurement AT línmiàoyí corporatecreditriskmeasurement AT linmiaoyi xìnyòngfēngxiǎnzhīhéngliàng AT línmiàoyí xìnyòngfēngxiǎnzhīhéngliàng |
_version_ |
1718324965784158208 |