Barrier Option Approach for Threshold''s Change in IFRS-The case of Taiwan

• Main Authors: Wei-Ting Lin, 林威廷
• Other Authors: Jong-Rong Chiou
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/2zga76

碩士 === 淡江大學 === 財務金融學系碩士班 === 104 === This study’s purpose is investigating the influence of credit risk and the difference of default probabilities in Taiwan by Barrier Option after IFRS was used. Many literatures had proved that Barrier Option had better performance than KMV model when using GAAP financial data to predict default risk. In 2013, Taiwan promoted new accounting principles, IFRS. Therefore, we are wondering if the predicting ability of Barrier Option will have some changes.The samples are 1595 companies’ yearly data (including 1377 normal companies and 96 companies which had financial crisis before) from 2008 to 2015. And the research steps are examining the Barrier Option default probabilities of GAAP and IFRS in Taiwan Market first, then judging the industry situations by using power curve and logistic regression model.The empirical result found that no matter the data from GAAP or IFRS, there was no obvious difference between barrier-debt ratio, power curve, and logistic regression model.