| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 92 === ABSTRACT
In Taiwan, the risk of regulation violation happens first in banks and financial institutes. Along with the innovation of the derivatives, the banks and financial institutes have to keep an eye on the possibilities of the regulation violation. Therefore they have to choose carefully the methods of risk evaluation and emphasize the control of risk.
The estimation of mother parameter must be used a lot in multiple models of credit risk. In order to practice the model of credit risk, in Taiwan's financial industry which lacks credit information, this thesis will survey not only the credit risk of KMV company's evaluation model of option, in Merton（1974）but also the influence of the credit risk of a company under different levels of EDF. Moreover this thesis will use the fuzzy rule to find out the rules which will be affected by the evaluation of credit risk and provide as well a new thought of the evaluation of credit risk.
From KMV model we know that baking industry must put a strict control on the length of time, and interest to avoid huge wave causing problems of a company's business. On the other hand, the volatility of stock market will cause serious damage to a Company.
On the part of fuzzy model, this thesis will find out the factors, which affect the credit evaluation of a bank's fuzzy model. From fuzzy rule we found that management efficiency, liquidity, and scale occur five times, therefore these three marks play important roles in the whole fuzzy rule. This finding shows the importance of fuzzy policy system in credit evaluation.
Keywords：Credit Rating、KMV Model、Expected Default Frequency、Fuzzy Model
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