The Study of Structural Credit Risk Management Models

• Main Authors: Yu-ling Lin, 林郁翎
• Other Authors: Ta-Cheng Chang
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/03716950182965650081

博士 === 東吳大學 === 經濟學系 === 95 === This essay is intended to renovate the BSM model in credit risk analysis. We use two exotic options, the barrier option and the compound option, to improve the BSM’s performance of detective default on firms in credit risk management. In our study, we use both the safety covenants and the existence of multiple debt issues, and consider the fitness of business default process and the status of debt structure that is more practical than the BSM model. We hope the developed model can predict the happening of default more precisely, and it can provide as a very fine basis in measuring the credit risk of firms in Taiwan. Aside from above, we follow the Zhou’s model（2001）and use first passage model to build default correlation of two representative firms to observe the default correlations in Taiwan listed companies on the following year. In this study, using the listed company data in Taiwan from 1997 to 2006/6, and compared with the traditional BSM structural model using market information, we find the performance of detective default in firms of our DOC and CO model established by the using of barrier and compound option theory has improved effect. Additionally, for the prediction of default correlations in Taiwan listed companies in the following year, we find the default correlation of two representative firms in construction industry as well as that of two representative firms in steel & iron industry are higher. The result also exhibits the default correlation between two representative firms that belonging to construction related industry and plastic related industry respectively are higher. We also find the portfolio diversification between the electron industry and the electric & machinery industry is the best. By the observation of the degree of default correlation between representative firms which have different rating grades but belong to the same industry, we find the default correlation between high risk representative firms is the highest, that between the different rating grades representative firms is next and between low risk representative firms is the least .