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| 篇名 | 無股價企業信用風險模式之建立：Merton模型與Ohlson模型之結合 |
|---|---|
| 卷期 | 17:4 |
| 並列篇名 | Credit Risk Model Establishment for Private Firms: The Integration of Merton Model and Ohlson Model |
| 作者 | 張大成 、 林郁翎 、 蘇郁嵐 |
| 頁次 | 1045-1081 |
| 關鍵字 | 信用風險 、 違約預警 、 Merton模型 、 Ohlson模型 、 PFM 、 Credit risk 、 Default prediction 、 Merton Model 、 Ohlson Model 、 TSSCI |
| 出刊日期 | 200912 |
中文摘要
㈲鑑於無股價㈽業之違約預警對銀行及債權㆟的重要性，本文結合Merton (1974) 之結構式選擇權評價模型，與Ohlson (1995) 的股權理論價值模型，提出Merton-Ohlson 模型，據以評估無股價㈽業之信用風險。實證結果顯示，相較於傳統Merton 利用市場㈾訊所估算之結構式模型，以及KMV 公司所發展的無股價公司信用風險衡量模型 (Private Firm Model, PFM) ，
Merton-Ohlson 模型之違約預警能力與預測正確率均㈲不錯的表現。因此本文認為可以採用Merton-Ohlson 模型於無股價㈽業信用風險量化指標之建立，並在未來進㆒步將此分析模式應用於㆗小㈽業信用風險量化之評估。
英文摘要
The default prediction of private firms for bankers and debtors is quite
important. In this study, the integration of the Merton’s (1974) structural model and Ohlson’s (1995) equity valuation model are adopted to develop the Merton-Ohlson model to evaluate the credit risks of private firms. After compared with both of the traditional Merton’s structural model by using market data and the Private Firm Model (PFM developed by KMV Company), the ability of default prediction and
the prediction accuracy of the Merton-Ohlson model show better empirical results.We conclude that the Merton-Ohlson model will be a valuable tool in the measurements of credit risks for private firms. The model can be applied further in credit risk evaluation of other small and median-sized businesses.