Default prediction with macroeconomics and industrial variables：A case study of Taiwan FPD industry
Date Issued
2008
Date
2008
Author(s)
Wang, Sung-Chieh
Abstract
To predict the default probability of companies more precisely, this thesis considers several macroeconomic and industry variables to predict the default rate of Taiwan FPD industry. Examining the correlation between dependent and independent variables by using linear function regression and piecewise linear function regression.he result reveals that oil price, new Taiwan dollar depreciation against Yen, 17’’ inches panel price, WPI of computer, electronic and optical products and the growth rate of loans & discounts at all banks to electronic parts & components have significant relevance with industry default rate of Taiwan FPD industry.ut-sample testing shows the prediction error is tiny, which means prediction of the model is excellent. Therefore, in spite of considering accounted-based variables, we can use these external environment variables to amend the score of company’s credit risk.
Subjects
industry credit risk
default
credit rating
Type
thesis
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