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考量系統風險下之信用評分模型–台灣股票市場為例 = Credit Sco...

吳佳峰

考量系統風險下之信用評分模型–台灣股票市場為例 = Credit Scoring Model under Systematic Risks：Evidencefrom Taiwan Stock Market

Record Type:	Language materials, printed : monographic
Paralel Title:	Credit Scoring Model under Systematic Risks：Evidencefrom Taiwan Stock Market
Author:	吳佳峰,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	2009[民98]
Description:	53面圖、表 : 30公分;
Subject:	信用違約
Subject:	credit default
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/49129819924183428198
Notes:	指導教授：林士貴
Notes:	參考書目：面
Summary:	隨著1997年的金融風暴、2000 年網路泡沫事件及最近因次貸風暴最後引發成全球金融海嘯，系統性風險引發更高的信用違約事件，因此研究系統性風險之信用違約模型是非常重要，若我們能發展出一個更精確的系統性風險之信用違約模型，我們將能有效的預測違約機率以規避損失或者讓傷害降到最小。本文以台灣資料為樣本，以Altman(1968)的模型來驗証是否具有準確的預測的預測能力，我們也利用同樣的方法做出一個以台灣資料為基礎的模型，來和Altman(1968)所提出的模型做比較，結果發現我們以台灣資料為基礎的模型，在預測危機公司以及型I 錯誤時，均較Altman(1968)所提出的模型來的準確，最後我們發現權數未必一直是固定的，必須經常調整；各國或是各時期所應使用的財務變數也會不同。由於Altman(1968)未考慮到景氣循環因子，所以我們也在Logistic Regression 和Probit model 下，希望藉由系統性風險因子的加入，來提高其預測能力，根據實證結果，系統性因子對預測能力並不顯著，雖然結果不顯著，不過也讓我們有更多的想法，來研究為何系統性因子無法提高其預測能力。 When Asian financial crisis happened in 1997 , many corporations run downand were closed . the economics that are similar to Thailand , Indonesia , Malaysia and Philippine , are involved . Later , Taiwan , Singapore , Hong Kong and South orea were also involved . In 2000 the Net Bubble involved with many .com ompanies led the Wall Street stock index to be half and the economic recession around the world .Finally ,the subprime mortgage that got worse and worse beat the financial industry in America , the bad effect of subprime mortgage went on . Many European countries were involved . Finally , the crisis of subprime mortgage became the global finance crisis .With the Asian financial crisis , the Net Bubble and the global finance crisis , the systematic risk leads to credit default events .So the research of default models of systematic risk is very important .We hope to improve our predictable ability by adding a systematic factor into the model . If we coulddevelop a model which is more useful and has a better predictability, we couldrelease the cost and lower the damage.

考量系統風險下之信用評分模型–台灣股票市場為例 = Credit Scoring Model under Systematic Risks：Evidencefrom Taiwan Stock Market
吳, 佳峰

考量系統風險下之信用評分模型–台灣股票市場為例 = Credit Scoring Model under Systematic Risks：Evidencefrom Taiwan Stock Market / 吳佳峰撰 - [高雄市] : 撰者, 2009[民98]. - 53面 ; 圖、表 ; 30公分.
指導教授：林士貴參考書目：面.
信用違約credit default

考量系統風險下之信用評分模型–台灣股票市場為例 = Credit Scoring Model under Systematic Risks：Evidencefrom Taiwan Stock Market
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