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...

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Main Authors: Lin, Miao-Yi, 林妙宜
Other Authors: Chen, Son-Nan
Format: Others
Language:zh-TW
Published: 2002
Online Access:http://ndltd.ncl.edu.tw/handle/51829451336744763039
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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
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language zh-TW
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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
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