| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 93 === The paper is mainly referring to the option model of the bond evaluation by Rabinovitch (1989). Then we use this approach into KMV model to estimates the default to distance of the default listing firms in Taiwan security markets.
First, we make the specificity to the default events of the firm and define the sample firms. The sample is given under certainly default risk events. Afterward, two risky values will be calculated which are the value of distance to default and Z-score. We apply the Newton-Raphson method to solve the asset market value of firm and its volatility. Moreover, the financial ratio obtains from the factor analysis and the stepwise discriminant analysis in Z-score approach. Finally, we also show that the power test will be predicted both two models.
In empirical study, the Z-score approach tested the firms before default risk of one year, two years, and three years, the correctly classify rates are 77.89%, 66.66%, and 64.63% respectively. The year increasing, the correctly rates decrease. As a result, the observation is consistent with the evidence of Altman (1968). The results of regression analysis presented are that the Z-score approach and the distance to default have the positive relationship with the asset market value of firm but the negative association with the its volatility. The implication is that the larger the asset market value, the lower the volatility. Thus, the possibility of the default firm occurred is quite low. In addition, we find that the Z-score, DD, and TCRI based on the relative coefficient analysis have the positive correlation among them. Therefore, we can conclude that these three indices have the positive association with default risk measurement. Finally, the empirical study from comparisons of predication by the power test, two models have no power of predict. The Z-score approach did a better job from 2000 to 2002 and 2004 while in 1999 and 2003, the KMV model was superior to the Z-score approach. Further to this evidence during the research period of time, there is no too many differences between these two measurements although the Z-score approach has good predictability. Consequently, the Z-score approach and The KMV model have considerably identifiable and predictable powers to measure and evaluate the default risk value of the listing firms in Taiwan security markets.
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