The Study on Corporate Financial Performance and Default Risk

• Main Authors: Tsai, Chen-I, 蔡貞誼
• Other Authors: Ko, Po-Sheng
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/45293095990165793914

碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 95 === Forecasting corporate credit risk and default risk has been an interesting but difficult matter for financial research. Literature indicated that different approaches were suggested in an attempt to better predict the probability of corporate default risk. These credit evaluation models include ratio-based, option-based, and other models. This study investigates a variety of credit evaluation models, explores the ratio-based Z model, proposed by Altman (1968), and then modifies the Z model based on the data in Taiwan. It is found that the modified Z model, with the addition of more economic-sensed financial ratios, could reach the same prediction performance as the conventional Z model with type II error reduced. Thus, the modified Z model could assist investors to identify better investment targets with default risk minimized.