Assessing the Accuracy of Default Risk Models:the Filter Test

• Main Authors: Feng-Yu Liao, 廖鳳玉
• Other Authors: Yuh-Dauh Lyuu
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/35694466250434778597

碩士 === 國立臺灣大學 === 資訊工程學研究所 === 97 === Before any investment and loan making, estimating the default risk of a firm is the first step to assessing the potential losses and credit exposure. For that purpose, evaluating the accuracy of default risk models is critical. Such tests usually use a single and specific cutting score, which separates defaulters from non-defaulters, to evaluate the performance of the models. In contrast, this thesis proposes a new test, called the filter test. It uses four financial ratios as the filters to evaluate the accuracy of default risk models. Other reasonable indicators or benchmark values can also be added or replace those in the filter test. Hence, the filter test presents a more general, flexible and objective methodology for evaluating the accuracy of default risk models.